On the existence of solution to one–dimensional forward–backward sdes

DOI10.1080/07362990008809657zbMath0949.60070OpenAlexW1993619613WikidataQ126243418 ScholiaQ126243418MaRDI QIDQ4946982

Ying Hu

Publication date: 7 June 2000

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362990008809657

zbMATH Keywords

viscosity solutionforward-backward stochastic differential equationquasilinear parabolic partial differential equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Related Items (2)

Weak solutions and a Yamada–Watanabe theorem for FBSDEs ⋮ On the existence and uniqueness of solutions to FBSDEs in a non-degenerate case.

Cites Work

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• \(N\)-person differential games governed by semilinear stochastic evolution systems
• Backward-forward stochastic differential equations
• Solving forward-backward stochastic differential equations explicitly -- a four step scheme
• Solution of forward-backward stochastic differential equations
• Black's consol rate conjecture
• Numerical methods for forward-backward stochastic differential equations
• Probabilistic approach to homogenizations of systems of quasilinear parabolic PDEs with periodic structures
• Hedging contingent claims for a large investor in an incomplete market

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