Abstract
The theory of backward stochastic differential equations (BSDEs) was pioneered by Pardoux and Peng [PaPe90]. It became now very popular, and is an important field of research due to its connections with stochastic control, mathematical finance, and partial differential equations. BSDEs provide a probabilistic representation of nonlinear PDEs, which extends the famous Feynman-Kac formula for linear PDEs. As a consequence, BSDEs can be used for designing numerical algorithms to nonlinear PDEs.
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© 2009 Springer-Verlag Berlin Heidelberg
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Pham, H. (2009). Backward stochastic differential equations and optimal control. In: Continuous-time Stochastic Control and Optimization with Financial Applications. Stochastic Modelling and Applied Probability, vol 61. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-540-89500-8_6
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DOI: https://doi.org/10.1007/978-3-540-89500-8_6
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Publisher Name: Springer, Berlin, Heidelberg
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Online ISBN: 978-3-540-89500-8
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