Approximate solvability of forward-backward stochastic differential equations
Let \(W\) denote a \(d\)-dimensional Brownian motion. An triplet of square integrable processes \(\Sigma= (X,Y,Z)\) adapted w.r.t. the filtration generated by \(W\) is called a solution to the forward-backward stochastic differential equation (FBSDE) with initial condition \(x\in \mathbb{R}^n\) and coefficients \(a\), \(\sigma\), \(h\), \(g\) if \[ (1)\qquad dX_t= b(t,\Sigma_t) dt+ \sigma(t,\Sigma_t) dW_t,\qquad (2)\qquad X_0= x,\qquad (3)\qquad Y_T= g(X_T). \] FBSDEs generalize the backward SDEs studied by \textit{E. Pardoux} and \textit{S. G. Peng} [Syst. Control Lett. 14, No. 1, 55-61 (1990; Zbl 0692.93064)]. Since the first paper on FBSDEs by \textit{F. Antonelli} [Ann. Appl. Probab. 3, No. 3, 777-793 (1993; Zbl 0780.60058)], there have been a lot of works in this subjet, among them the papers of the authors [Chin. Ann. Math., Ser. B 16, No. 3, 279-298 (1995; Zbl 0832.60067)], the authors and \textit{P. Protter} [Probab. Theory Relat. Fields 98, No. 3, 339-359 (1994; Zbl 0794.60056)], \textit{Y. Hu} and \textit{S. Peng} [ibid. 103, No. 2, 273-283 (1995; Zbl 0831.60065)] and \textit{S. Peng} and \textit{Z. Wu} [SIAM J. Control Optimization 37, No. 3, 825-843 (1999; Zbl 0931.60048)]. These papers present different methods to solve FBSDE (1)--(3); the type of assumptions on the coefficients they use are different, but they have in common that they are rather restrictive. Working only with rather mild assumptions, the authors study the approximate solvability of the FSBE, by which is meant that, for any \(\varepsilon> 0\) there is some \(\Sigma\) satisfying (1), (2), and \((3')\) \(E[|Y_T- g(X_T)|]\leq \varepsilon\). In their work they develop a general scheme for constructing approximate solutions.
- Weak Solutions of Forward–Backward SDE's
- Numerical methods for forward-backward stochastic differential equations
- On the existence of solution to one–dimensional forward–backward sdes
- Forward-backward stochastic differential equations with nonsmooth coefficients.
- Forward-backward stochastic differential equations and their applications
- Forward-backward stochastic differential equations and their applications
- Forward-backward stochastic differential equations with nonsmooth coefficients.
- Solution of forward-backward stochastic differential equations
- A first order semi-discrete algorithm for backward doubly stochastic differential equations
- Stochastic saddle paths and economic theory
- Limit theorems for BSDE with local time applications to non-linear PDE
- Forward-backward linear quadratic stochastic optimal control problem with delay
- Approximation of the solution of the backward stochastic differential equation. Small noise, large sample and high frequency cases
- Existence of optimal controls for systems driven by FBSDEs
- A first order scheme for backward doubly stochastic differential equations
- Forward-backward stochastic differential equations: initiation, development and beyond
- A novel control method for solving high-dimensional Hamiltonian systems through deep neural networks
- Linear forward-backward stochastic differential equations with random coefficients
This page was built for publication: Approximate solvability of forward-backward stochastic differential equations
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5956450)
