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

DOI10.1080/07362990008809657MaRDI QIDQ4946982zbMATH OpenOpenAlexWikidataFDO

Authors 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

forward-backward stochastic differential equationquasilinear parabolic partial differential equationviscosity solution

Mathematics Subject Classification ID

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

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Cites work

• N-person differential games governed by semilinear stochastic evolution systems
• Backward-forward stochastic differential equations
• Black's consol rate conjecture
• Hedging contingent claims for a large investor in an incomplete market
• scientific article; zbMATH DE number 158461 (Why is no real title available?)
• Numerical methods for forward-backward stochastic differential equations
• Probabilistic approach to homogenizations of systems of quasilinear parabolic PDEs with periodic structures
• Solution of forward-backward stochastic differential equations
• Solving forward-backward stochastic differential equations explicitly -- a four step scheme

Cited in

(12)

• On the existence and uniqueness of solutions to FBSDEs in a non-degenerate case.
• Densities of one-dimensional backward SDEs
• Forward-backward SDEs with jumps and classical solutions to nonlocal quasilinear parabolic PDEs
• Forward-backward SDEs with distributional coefficients
• On well-posedness of forward-backward SDEs -- a unified approach
• Weak solutions for forward-backward SDEs-a martingale problem approach
• On the solvability of forward-backward stochastic differential equations with absorption coefficients
• Weak Solutions of Forward–Backward SDE's
• Weak solutions and a Yamada–Watanabe theorem for FBSDEs
• Approximate solvability of forward-backward stochastic differential equations
• On weak solutions of forward-backward SDEs
• Weak existence and uniqueness for forward-backward SDEs

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