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Pré-Publication, Document De Travail Année : 2020

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

Résumé

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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Dates et versions

hal-02573500 , version 1 (14-05-2020)

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  • HAL Id : hal-02573500 , version 1

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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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