Linear forward-backward stochastic differential equations
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Theorems are proved establishing conditions for the solvability of a system of coupled linear forward-backward stochastic differential equations of the form \[ dX(t)= \bigl\{AX(t)+BY(t) +CZ(t)+Db(t)\bigr\}dt +\bigl \{A_1X(t) +B_1Y(t)+ C_1Z(t)+ D_1\sigma (t)\bigr\}dW(t), \] \[ dY(t)= \bigl\{ \widehat AX(t)+ \widehat BY(t)+ \widehat CZ(t)+ \widehat D\widehat b(t)\bigr\} dt+ \bigl\{\widehat A_1X(t)+ \widehat B_1Y(t)+ \widehat C_1Z(t)+ \widehat D_1 \widehat \sigma(t)\bigr\}dW(t), \] \[ X(0)=0,\quad Y(T)=GX(T)+Fg, \] where \(A,B,C\), etc. are deterministic matrices, \(b,\sigma,\widehat b,\widehat \sigma\) are stochastic processes, \(g\) is a random variable, and \(W(t)\) is a standard Brownian motion. An extension to systems with multidimensional Brownian motion is discussed.
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