Solving forward-backward stochastic differential equations explicitly -- a four step scheme

DOI10.1007/BF01192258zbMath0794.60056OpenAlexW2046553535MaRDI QIDQ1326299

Jin Ma, Philip E. Protter, Jiong-min Yong

Publication date: 15 August 1994

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf01192258

zbMATH Keywords

uniquenessintegral representationforward-backward stochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Nonlinear parabolic equations (35K55) Martingales with continuous parameter (60G44) Stochastic integral equations (60H20)

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• SOME NEW RESULTS IN THE THEORY OF CONTROLLED DIFFUSION PROCESSES

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