Well-posedness of second order BSDEs

Nizar Touzi
École Polytechnique

We introduce a new definition of a solution to second order BSDEs. We provide an existence and uniqueness result in a convenient space, together with a representation in terms of standard BSDEs under mutually singular probability measures. Finally, we show the connection with fully nonlinear second order PDEs, and we prove a nonlinear Feynman-Kac formula.

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