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Partial differential equations associated to non linear backward stochastic differential equations with Gaussian Volterra processes

Abstract : In this paper, we generalize to Gaussian Volterra processes the existence and uniqueness of solutions for a class of non linear backward stochastic differential equations (BSDE) and we establish the relation between the non linear BSDE and the partial differential equation (PDE). A comparison theorem for the solution of the BSDE is proved and the continuity of its law is studied.
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https://hal.univ-lorraine.fr/hal-02573500
Contributor : Habiba Knani <>
Submitted on : Thursday, May 14, 2020 - 1:26:08 PM
Last modification on : Tuesday, March 2, 2021 - 5:12:06 PM

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H Knani. Partial differential equations associated to non linear backward stochastic differential equations with Gaussian Volterra processes. 2020. ⟨hal-02573500⟩

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