Classical Solutions of Path-dependent PDEs and Functional Forward-Backward Stochastic Systems

Details Classical Solutions of Path-dependent PDEs and Functional Forward-Backward Stochastic Systems Classical Solutions of Path-dependent PDEs and Functional Forward-Backward Stochastic Systems

2012-04-17

arxiv.org/abs/1204.3702v1

Mathematics

Probability

arXiv admin note: text overlap with arXiv:1108.4317

Scientific paper

In this paper we study the relationship between functional forward-backward
stochastic systems and path-dependent PDEs. In the framework of functional
It\^o calculus, we introduce a path-dependent PDE and prove that its solution
is uniquely determined by a functional forward-backward stochastic system.

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