Forward-backward SDEs with discontinuous coefficients

DOI10.1080/07362994.2017.1399799zbMath1391.60134OpenAlexW2774624146MaRDI QIDQ4639169

No author found.

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

zbMATH Keywords

weak solutiondiscontinuous coefficientsstrong solutiondistribution solutionforward-backward SDEsdecoupling functionKrylov estimates

Mathematics Subject Classification ID

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)

Related Items (3)

Coupled FBSDEs with measurable coefficients and its application to parabolic PDEs ⋮ Forward-backward stochastic differential equations: initiation, development and beyond ⋮ A Risk-Sharing Framework of Bilateral Contracts

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Weak existence and uniqueness for forward-backward SDEs
• Parabolic equations with measurable coefficients
• Forward-backward stochastic differential equations and their applications
• Backward-forward stochastic differential equations
• Solving forward-backward stochastic differential equations explicitly -- a four step scheme
• On quasi-linear stochastic partial differential equations
• On the existence and uniqueness of solutions to FBSDEs in a non-degenerate case.
• Parabolic equations in Reifenberg domains
• Backward stochastic differential equations and partial differential equations with quadratic growth.
• Solution of forward-backward stochastic differential equations
• Black's consol rate conjecture
• Singular forward-backward stochastic differential equations and emissions derivatives
• Stochastic differential equations driven by fractional Brownian motion and Poisson point process
• On well-posedness of forward-backward SDEs -- a unified approach
• Weak solutions for forward-backward SDEs-a martingale problem approach
• Regularization of differential equations by fractional noise.
• Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control
• Weak Solutions of Forward–Backward SDE's
• Bounds for the fundamental solution of a parabolic equation
• On Weak Solutions of Backward Stochastic Differential Equations
• Bond pricing in a hidden Markov model of the short rate

This page was built for publication: Forward-backward SDEs with discontinuous coefficients