Summary
We introduce a new class of backward stochastic differential equations, which allows us to produce a probabilistic representation of certain quasilinear stochastic partial differential equations, thus extending the Feynman-Kac formula for linear SPDE's.
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The research of this author was partially supported by DRET under contract 901636/A000/DRET/DS/SR
The research of this author was supported by a grant from the French “Ministère de la Recherche et de la Technologie”, which is gratefully acknowledged
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Pardoux, E., Peng, S. Backward doubly stochastic differential equations and systems of quasilinear SPDEs. Probab. Th. Rel. Fields 98, 209–227 (1994). https://doi.org/10.1007/BF01192514
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DOI: https://doi.org/10.1007/BF01192514