Two Equivalent Families of Linear Fully Coupled Forward Backward Stochastic Differential Equations

DOI10.1051/cocv/2022073OpenAlexW4308531168WikidataQ115334407 ScholiaQ115334407MaRDI QIDQ5060169

Ruyi Liu, Zhen Wu, Detao Zhang

Publication date: 18 January 2023

Published in: ESAIM: Control, Optimisation and Calculus of Variations (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2205.07398

zbMATH Keywords

linear transformationwell-posednessforward-backward stochastic differential equationslinear quadratic problemequivalent family

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05)

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