Solving forward-backward stochastic differential equations explicitly -- a four step scheme (Q1326299)

From MaRDI portal
Revision as of 20:34, 18 July 2023 by Importer (talk | contribs) (‎Created a new Item)
(diff) ← Older revision | Latest revision (diff) | Newer revision → (diff)
scientific article
Language Label Description Also known as
English
Solving forward-backward stochastic differential equations explicitly -- a four step scheme
scientific article

    Statements

    Solving forward-backward stochastic differential equations explicitly -- a four step scheme (English)
    0 references
    0 references
    0 references
    0 references
    15 August 1994
    0 references
    We investigate the nature of the adapted solutions to a class of forward- backward stochastic differential equations (SDEs for short) in which the forward equation is nondegenerate. We prove that in this case the adapted solution can always be sought in an ``ordinary'' sense over an arbitrarily prescribed time duration, via a direct ``Four Step Scheme''. Using this scheme, we further prove that the backward components of the adapted solution are determined explicitly by the forward components via the solution of a certain quasilinear parabolic PDE system. Moreover the uniqueness of the adapted solutions (over an arbitrary time duration), as well as the continuous dependence of the solutions on the parameters, can all be proved within this unified framework. Some special cases are studied separately. In particular, we derive a new form of the integral representation of the Clark-Haussmann-Ocone type for functionals (or functions) of diffusions, in which the conditional expectation is no longer needed.
    0 references
    forward-backward stochastic differential equations
    0 references
    uniqueness
    0 references
    integral representation
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references