Weak solutions for forward-backward SDEs-a martingale problem approach

DOI10.1214/08-AOP0383zbMath1154.60045arXiv0901.2790OpenAlexW2080830848MaRDI QIDQ2519677

Jianfeng Zhang, Ziyu Zheng, Jin Ma

Publication date: 27 January 2009

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0901.2790

zbMATH Keywords

uniquenessweak solutionsviscosity solutionsmartingale problemsforward-backward stochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Nonlinear parabolic equations (35K55) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Related Items (15)

Stochastic representation of weak solutions of viscous conservation laws: a BSDE approach ⋮ A Global Stochastic Maximum Principle for Fully Coupled Forward-Backward Stochastic Systems ⋮ A Global Stochastic Maximum Principle for Forward-Backward Stochastic Control Systems with Quadratic Generators ⋮ On quasilinear parabolic systems and FBSDEs of quadratic growth ⋮ Forward-backward stochastic differential equations: initiation, development and beyond ⋮ Propagation of chaos of forward-backward stochastic differential equations with graphon interactions ⋮ Weak solutions of backward stochastic differential equations with continuous generator ⋮ On viscosity solutions of path dependent PDEs ⋮ On weak solutions of forward-backward SDEs ⋮ Forward-backward SDEs with discontinuous coefficients ⋮ Forward backward SDEs in weak formulation ⋮ Backward stochastic dynamics on a filtered probability space ⋮ Density estimates for a random noise propagating through a chain of differential equations ⋮ Forward-backward SDEs with distributional coefficients ⋮ Strong solutions of forward-backward stochastic differential equations with measurable coefficients

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