A transformation method to study the solvability of fully coupled FBSDEs

DOI10.1080/17442508.2021.1903466MaRDI QIDQ5086894zbMATH OpenOpenAlexFDO

Authors Stefan Ankirchner, Alexander Fromm, Julian Wendt

Publication date 8 July 2022

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442508.2021.1903466

zbMATH Keywords

decoupling fieldfully coupled forward-backward stochastic differential equationsglobal solvabilitylinear transformationstochastic control

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cites work

• Finding adapted solutions of forward-backward stochastic differential equations: Method of continuation
• Forward-backward stochastic differential equations and quasilinear parabolic PDEs
• Forward-backward stochastic differential equations and their applications
• Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control
• Measure theory. Vol. I and II
• On the existence and uniqueness of solutions to FBSDEs in a non-degenerate case.
• On the inverse function theorem
• On well-posedness of forward-backward SDEs -- a unified approach
• Optimal control of diffusion coefficients via decoupling fields
• Optimality models in behavioral biology
• Pricing, hedging, and designing derivatives with risk measures
• Solution of forward-backward stochastic differential equations
• Solving forward-backward stochastic differential equations explicitly -- a four step scheme

Cited in

(2)

• Well-posedness of fully coupled linear forward-backward stochastic differential equations
• Two Equivalent Families of Linear Fully Coupled Forward Backward Stochastic Differential Equations

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