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

DOI10.1016/J.JMAA.2019.123642MaRDI QIDQ2287239zbMATHOpenAlexWikidataFDO

Authors Bing Xie, Zhiyong 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 equation\(L^p\)-theoryrandom coefficientglobal implicit function theoremsmall duration

Mathematics Subject Classification ID

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

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Cites work

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Cited in

(6)

• The Global Maximum Principle for Progressive Optimal Control of Partially Observed Forward-Backward Stochastic Systems with Random Jumps
• A small elliptic perturbation of a backward-forward parabolic problem with applications to stochastic models.
• \(L^p\)-estimate for linear 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
• A regression-based Monte Carlo method to solve two-dimensional forward backward stochastic differential equations

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