Four step scheme for general Markovian forward-backward SDEs (Q601070)
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English | Four step scheme for general Markovian forward-backward SDEs |
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Four step scheme for general Markovian forward-backward SDEs (English)
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3 November 2010
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Considering a special class of forward-backward stochastic differential equations (FBSDE), the authors show that (1) the adapted solution exists and is unique over any prescribed time period and (2) the backward components can be explicitly determined by the forward component using the classical solution to a system of parabolic integro-partial differential equations. It is deduced that the martingale representation theorem is not a reason for the well-posedness of the FBSDE in a Markovian set-up, but rather a consequence of the existence of the solution to the decoupling integro-partial differential equation.
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forward-backward stochastic differential equations
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parabolic integro-partial differential equations
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strong Markov semi-martingales
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four step scheme
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