Stochastic Differential Equations, Backward SDEs, Partial Differential Equations
This research monograph presents results to researchers in stochastic calculus, forward and backward stochastic differential equations, connections between diffusion processes and second order partial differential equations (PDEs), and financial mathemati
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Etienne Pardoux Aurel Răscanu
Stochastic Differential Equations, Backward SDEs, Partial Differential Equations
Stochastic Modelling and Applied Probability
Stochastic Mechanics Random Media Signal Processing and Image Synthesis (Formerly: Mathematical Economics and Finance Applications of Mathematics) Stochastic Optimization Stochastic Control Stochastic Models in Life Sciences
69
Edited by P.W. Glynn Y. Le Jan Advisory Board M. Hairer I. Karatzas F.P. Kelly A.E. Kyprianou B. Øksendal G. Papanicolaou E. Pardoux E. Perkins H.M. Soner
For further volumes: http://www.springer.com/series/602
Etienne Pardoux • Aurel R˘as¸canu
Stochastic Differential Equations, Backward SDEs, Partial Differential Equations
123
Etienne Pardoux Institut de Mathématiques de Marseille Université d’Aix–Marseille Marseille, France
Aurel R˘as¸canu Faculty of Mathematics, Alexandru Ioan Cuza University Ia¸si, Romania
ISSN 0172-4568 Stochastic Modelling and Applied Probability ISSN 2197-439X (electronic) ISBN 978-3-319-05713-2 ISBN 978-3-319-05714-9 (eBook) DOI 10.1007/978-3-319-05714-9 Springer Cham Heidelberg New York Dordrecht London Library of Congress Control Number: 2014941443 Mathematics Subject Classification (2010): 60H05, 60H10, 60J60, 35D40 © Springer International Publishing Switzerland 2014 This work is subject to copyright. All rights are reserved by the Publisher, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, reuse of illustrations, recitation, broadcasting, reproduction on microfilms or in any other physical way, and transmission or information storage and retrieval, electronic adaptation, computer software, or by similar or dissimilar methodology now known or hereafter developed. Exempted from this legal reservation are brief excerpts in connection with reviews or scholarly analysis or material supplied specifically for the purpose of being entered and executed on a computer system, for exclusive use by the purchaser of the work. Duplication of this publication or parts thereof is permitted only under the provisions of the Copyright Law of the Publisher’s location, in its current version, and permission for use must always be obtained from Springer. Permissions for use may be obtained through RightsLink at the Copyright Clearance Center. Violations are liable to prosecution under the respective Copyright Law. The use of general descriptive names, registered names, trademarks, service marks, etc. in this publication does not imply, even in the absence of a specific statement, that such names are exempt from the relevant protective laws and regulations and therefore free for general use. While the advice and information in this book are believed to be true and accurate at the date of publication, neither the authors nor the editors nor the publisher can accept any legal responsibility for any errors or omissions that may be made. The publisher makes no warranty, express or implied, with respect to the material contained herein. Printed on acid-free paper
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