An exploration of \(L^p\)-theory for forward-backward stochastic differential equations with random coefficients on small durations

DOI10.1016/j.jmaa.2019.123642zbMath1471.60092OpenAlexW2987416705WikidataQ126831883 ScholiaQ126831883MaRDI QIDQ2287239

Bing Xie, Zhi-Yong Yu

Publication date: 20 January 2020

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2019.123642

zbMATH Keywords

forward-backward stochastic differential equationglobal implicit function theorem\(L^p\)-theoryrandom coefficientsmall duration

Mathematics Subject Classification ID

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

Related Items (5)

A regression-based Monte Carlo method to solve two-dimensional forward backward stochastic differential equations ⋮ Sobolev space weak solutions to one kind of quasilinear parabolic partial differential equations related to forward-backward stochastic differential equations ⋮ \( L^p\) estimations of fully coupled FBSDEs ⋮ \(L^p\)-estimate for linear forward-backward stochastic differential equations ⋮ The Global Maximum Principle for Progressive Optimal Control of Partially Observed Forward-Backward Stochastic Systems with Random Jumps

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