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With the pioneering work of [Pardoux and Peng, (1990) 55–61; Pardoux and Peng, (1992) 200–217]. We have at our disposal stochastic processes which solve the so-called . These processes provide us with a Feynman-Kac representation for the solutions of a class of nonlinear partial differential equations (PDEs) which appear in many applications in the field of Mathematical Finance. Therefore there is a great interest among both practitioners and theoreticians...
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