On well-posedness of forward-backward SDEs -- a unified approach

DOI10.1214/14-AAP1046zbMath1319.60132arXiv1110.4658OpenAlexW2124148726MaRDI QIDQ2354895

Jin Ma, Jianfeng Zhang, Detao Zhang, Zhen Wu

Publication date: 27 July 2015

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1110.4658

zbMATH Keywords

comparison theoremforward-backward stochastic differential equationsbackward stochastic Riccati equationsdecoupling random fields

Mathematics Subject Classification ID

Random fields (60G60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Ordinary differential equations and systems with randomness (34F05) Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic integral equations (60H20)

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