Forward-backward SDEs with discontinuous coefficients
DOI10.1080/07362994.2017.1399799zbMath1391.60134OpenAlexW2774624146MaRDI QIDQ4639169
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Publication date: 3 May 2018
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07362994.2017.1399799
weak solutiondiscontinuous coefficientsstrong solutiondistribution solutionforward-backward SDEsdecoupling functionKrylov estimates
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Interest rates, asset pricing, etc. (stochastic models) (91G30) Semilinear parabolic equations (35K58)
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Cites Work
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