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Backward doubly stochastic differential equations and systems of quasilinear SPDEs
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  • Published: June 1994

Backward doubly stochastic differential equations and systems of quasilinear SPDEs

  • Etienne Pardoux1 &
  • Shige Peng2 

Probability Theory and Related Fields volume 98, pages 209–227 (1994)Cite this article

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Summary

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.

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Author information

Authors and Affiliations

  1. Laboratoire APT, URA 225, Université de Provence, F-13331, Marseille Cedex 3, France

    Etienne Pardoux

  2. Institute of Mathematics, Shandong University, Jinan, People's Republic of China

    Shige Peng

Authors
  1. Etienne Pardoux
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  2. Shige Peng
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Additional information

The research of this author was partially supported by DRET under contract 901636/A000/DRET/DS/SR

The research of this author was supported by a grant from the French “Ministère de la Recherche et de la Technologie”, which is gratefully acknowledged

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Cite this article

Pardoux, E., Peng, S. Backward doubly stochastic differential equations and systems of quasilinear SPDEs. Probab. Th. Rel. Fields 98, 209–227 (1994). https://doi.org/10.1007/BF01192514

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  • Received: 30 December 1992

  • Revised: 06 October 1993

  • Issue Date: June 1994

  • DOI: https://doi.org/10.1007/BF01192514

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Mathematics Subject Classification

  • 60H10
  • 60H15
  • 60H30
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