Abstract.
By replacing the final condition for backward stochastic differential equations (in short: BSDEs) by a stationarity condition on the solution process we introduce a new class of BSDEs. In a natural manner we associate to such BSDEs the periodic solution of second order partial differential equations with periodic structure.
Author information
Authors and Affiliations
Additional information
Received: 11 October 1996 / Revised version: 15 February 1999
Rights and permissions
About this article
Cite this article
Buckdahn, R., Peng, S. Stationary backward stochastic differential equations and associated partial differential equations. Probab Theory Relat Fields 115, 383–399 (1999). https://doi.org/10.1007/s004400050242
Issue Date:
DOI: https://doi.org/10.1007/s004400050242
- Mathematics Subject Classification (1991): 60H10, 60H30