scientific article; zbMATH DE number 1066312
Let \(W=(W_t)\) be a \(d\)-dimensional Brownian motion, denote by \((F_t)\) the filtration generated by \(W\), and for some \(T>0\), let \(\xi\) be a square integrable \(F_T\)-measurable random variable and \(f:[0,T] \times \Omega \times R^m \times R^{m \times d} \to R^m\) be a progressively measurable function which is uniformly Lipschitz in its two last variables. By generalizing the well-known martingale representation property \[ Y_t= E[\xi/ F_t] = \xi-\int^T_t Z_sdW_s, \quad 0\leq t\leq T, \] the author and \textit{S. G. Peng} [Syst. Control Lett. 14, No. 1, 55-61 (1990; Zbl 0692.93064)] were the first to study general equations of the form \[ Y_t=\xi +\int^T_tf(s,Y_s, Z_s)ds- \int^T_tZ_s dW_s, \quad 0\leq t\leq T, \] called backward stochastic differential equation (BSDE) and to prove existence and uniqueness of a square integrable adapted solution \((Y,Z)\). Motivated by its connection to nonlinear PDEs and stochastic control problems as well as its application in finance, the theory of BSDEs has developed rapidly, and a lot of work has done by many authors. The great advantage of the present paper is to give a general introduction to the theory of BSDEs, and, in the Markovian case of forward-backward SDEs, and their relation to PDEs, where this introduction includes main results with their proofs, remarks on pathologies, historical remarks, remarks about recent results as well as an extensive bibliography. The paper should address to specialists and to probabilists familiar with the notion of an SDE and interested in getting an overview of the theory of BSDEs. For the entire collection see [Zbl 0866.00052].
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