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Forward-backward stochastic differential equations and quasilinear parabolic PDEs
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  • Published: May 1999

Forward-backward stochastic differential equations and quasilinear parabolic PDEs

  • Etienne Pardoux1 &
  • Shanjian Tang2 

Probability Theory and Related Fields volume 114, pages 123–150 (1999)Cite this article

  • 1987 Accesses

  • 200 Citations

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Abstract

This paper studies, under some natural monotonicity conditions, the theory (existence and uniqueness, a priori estimate, continuous dependence on a parameter) of forward–backward stochastic differential equations and their connection with quasilinear parabolic partial differential equations. We use a purely probabilistic approach, and allow the forward equation to be degenerate.

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Authors and Affiliations

  1. LATP, CMI, Université de Provence, 39, rue F. Joliot Curie, F-13453 Marseille Cedex 13, France (e-mail: pardoux@gyptis.univ-mrs.fr), , , , , , FR

    Etienne Pardoux

  2. Department of Mathematics, Fudan University, Shanghai 200433, PRC, , , , , , CN

    Shanjian Tang

Authors
  1. Etienne Pardoux
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  2. Shanjian Tang
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Received: 12 May 1997 / Revised version: 10 January 1999

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Pardoux, E., Tang, S. Forward-backward stochastic differential equations and quasilinear parabolic PDEs. Probab Theory Relat Fields 114, 123–150 (1999). https://doi.org/10.1007/s004409970001

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  • Issue Date: May 1999

  • DOI: https://doi.org/10.1007/s004409970001

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  • Mathematics Subject Classification (1991): Primary 60H10, 60G44; Secondary 35K55
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