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Viscosity Solutions of Path-Dependent PDEs and Non-Markovian Forward-Backward Stochastic Equations

It is known that Markovian forward-backward stochastic differential equations provide nonlinear Feynman-Kac representation formulae for semilinear parabolic PDEs. We show that non-Markovian forward-backward stochastic differential equations provide nonlinear Feynman-Kac formulae for semilinear path-dependent PDEs. This extends the result proved in Ekren, Keller, Touzi, and Zhang [4] to the case with a possibly degenerate diffusion coefficient in the forward dynamics.

preprint2013arXivOpen access
Andrea Cosso
math.PR
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Andrea Cosso

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