Backward doubly stochastic differential equations and systems of quasilinear SPDEs
- Cite this article as:
- Pardoux, E. & Peng, S. Probab. Th. Rel. Fields (1994) 98: 209. doi:10.1007/BF01192514
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We introduce a new class of backward stochastic differential equations, which allows us to produce a probabilistic representation of certain quasilinear stochastic partial differential equations, thus extending the Feynman-Kac formula for linear SPDE's.