IDEAS home Printed from https://ideas.repec.org/h/spr/sprchp/978-3-0348-9078-6_147.html
   My bibliography  Save this book chapter

Backward Stochastic Differential Equations and Applications

In: Proceedings of the International Congress of Mathematicians

Author

Listed:
  • Etienne Pardoux

    (Centre de Mathematiques et dTnformatique Universite de Provence Rue Joliot Curie, Institut Universitaire de France and Labo. d’Analyse, Topologie, Probabilites)

Abstract

A new type of stochastic differential equation, called the backward stochastic differentil equation (BSDE), where the value of the solution is prescribed at the final (rather than the initial) point of the time interval, but the solution is nevertheless required to be at each time a function of the past of the underlying Brownian motion, has been introduced recently, independently by Peng and the author in [16], and by Duffie and Epstein in [7]. This class of equations is a natural nonlinear extension of linear equations that appear both as the equation for the adjoint process in the maximum principle for optimal stochastic control (see [2]), and as a basic model for asset pricing in financial mathematics. It was soon after discovered (see [22], [17]) that those BSDEs provide probabilistic formulas for solutions of certain semilinear partial differential equations (PDEs), which generalize the well-known Feynmann-Kac formula for second order linear PDEs. This provides a new additional tool for analyzing solutions of certain PDEs, for instance reaction-diffusion equations.

Suggested Citation

  • Etienne Pardoux, 1995. "Backward Stochastic Differential Equations and Applications," Springer Books, in: S. D. Chatterji (ed.), Proceedings of the International Congress of Mathematicians, pages 1502-1510, Springer.
    • Handle: RePEc:spr:sprchp:978-3-0348-9078-6_147
    DOI: 10.1007/978-3-0348-9078-6_147
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a
    for a similarly titled item that would be available.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:sprchp:978-3-0348-9078-6_147. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.