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- W2020032899 abstract "We consider a system of fully coupled forward-backward stochastic differential equations. First we generalize the results of Pardoux-Tang [7] concerning the regularity of the solutions with respect to initial conditions. Then, we prove that in some particular cases this system leads to a probabilistic representation of solutions of a second-order PDE whose second order coefficients depend on the gradient of the solution. We then give some examples in dimension 1 and dimension 2 for which the assumptions are easy to check." @default.
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- W2020032899 date "2006-03-01" @default.
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- W2020032899 title "Forward-backward stochastic differential equations and PDE with gradient dependent second order coefficients" @default.
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- W2020032899 doi "https://doi.org/10.1051/ps:2006005" @default.
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