南方科技大学知识苑(SUSTech KC): Forward-backward doubly stochastic systems and classical solutions of path-dependent stochastic PDEs

题名	Forward-backward doubly stochastic systems and classical solutions of path-dependent stochastic PDEs
作者	Shi，Yufeng 1; Wen，Jiaqiang2 ; Xiong，Jie3
通讯作者	Wen，Jiaqiang
发表日期	2022
DOI	10.1080/17442508.2022.2085503
发表期刊	Stochastics-An International Journal of Probability and Stochastic Processes 影响因子和分区
ISSN	1744-2508
EISSN	1744-2516
卷号	95 期号:3
摘要	In this paper, a class of non-Markovian forward-backward doubly stochastic systems is studied. By using the technique of functional Itô (or path-dependent) calculus, the relationship between the systems and related path-dependent quasi-linear stochastic partial differential equations (SPDEs in short) is established, and the well-known nonlinear stochastic Feynman-Kac formula of Pardoux and Peng [Backward doubly stochastic differential equations and systems of quasilinear SPDEs, Probab. Theory Relat. Fields 98 (1994), pp. 209–227.] is developed to the non-Markovian situation. Moreover, we obtain the differentiability of the solution to the forward-backward doubly stochastic systems and some properties of solutions to the path-dependent SPDEs.
关键词	Backward doubly stochastic differential equations functional Itô calculus nonlinear stochastic Feynman-Kac formula path-dependence
相关链接	[Scopus记录]
收录类别	SCI
语种	英语
学校署名	通讯
资助项目	National Key R&D Program of China[2018YFA0703900] ; National Natural Science Foundation of China[11871309,11371226,12101291,61873325,11831010] ; Natural Science Foundation of Guangdong Province of China[2214050003543] ; SUSTech start-up fund["Y01286233","Y01286120"]
WOS研究方向	Mathematics
WOS类目	Mathematics, Applied ; Statistics & Probability
WOS记录号	WOS:000809719500001
出版者	TAYLOR & FRANCIS LTD
Scopus记录号	2-s2.0-85131756711
来源库	Scopus
引用统计	被引频次[WOS]：3
成果类型	期刊论文
条目标识符	http://sustech.caswiz.com/handle/2SGJ60CL/336280
专题	理学院_数学系深圳国际数学中心（杰曼诺夫数学中心）（筹）
作者单位	1.Institute for Financial Studies and School of Mathematics,Shandong University,Jinan,China 2.Department of Mathematics,Southern University of Science and Technology,Shenzhen,China 3.Department of Mathematics and SUSTech International Center for Mathematics,Southern University of Science and Technology,Shenzhen,China
通讯作者单位	数学系
推荐引用方式 GB/T 7714	Shi，Yufeng,Wen，Jiaqiang,Xiong，Jie. Forward-backward doubly stochastic systems and classical solutions of path-dependent stochastic PDEs[J]. Stochastics-An International Journal of Probability and Stochastic Processes,2022,95(3).
APA	Shi，Yufeng,Wen，Jiaqiang,&Xiong，Jie.(2022).Forward-backward doubly stochastic systems and classical solutions of path-dependent stochastic PDEs.Stochastics-An International Journal of Probability and Stochastic Processes,95(3).
MLA	Shi，Yufeng,et al."Forward-backward doubly stochastic systems and classical solutions of path-dependent stochastic PDEs".Stochastics-An International Journal of Probability and Stochastic Processes 95.3(2022).