Abstract
Throughout this chapter, \((\Omega,\mathcal{F}, \mathbb{F},P)\) is a filtered probability space with filtration \(\mathbb{F} =\{ {\mathcal{F}}_{t},\) t ≥ 0} satisfying the usual conditions. Let W = {W t ,t ≥ 0} be a Brownian motion valued in \({\mathbb{R}}^{d}\), defined on \((\Omega,\mathcal{F}, \mathbb{F},P)\).
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Touzi, N. (2013). Conditional Expectation and Linear Parabolic PDEs. In: Optimal Stochastic Control, Stochastic Target Problems, and Backward SDE. Fields Institute Monographs, vol 29. Springer, New York, NY. https://doi.org/10.1007/978-1-4614-4286-8_2
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