A Backward Stochastic Differential Equation without Strong Solution

DOI10.1137/S0040585X97981743zbMath1090.60051OpenAlexW2000762698WikidataQ115246822 ScholiaQ115246822MaRDI QIDQ5472378

Hans-Jürgen Engelbert, Rainer Buckdahn

Publication date: 9 June 2006

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s0040585x97981743

zbMATH Keywords

weak solutionsTsirelson example

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items (3)

A class of quadratic forward-backward stochastic differential equations ⋮ On weak solutions of forward-backward SDEs ⋮ Strong solutions of forward-backward stochastic differential equations with measurable coefficients

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