Weak solutions and a Yamada–Watanabe theorem for FBSDEs

DOI10.1515/rose.2007.016zbMath1199.60199MaRDI QIDQ5324841

Modeste N'zi, Youssef Ouknine, Khaled Bahlali, Brahim Mezerdi

Publication date: 8 August 2009

Published in: Random Operators and Stochastic Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/rose.2007.016

zbMATH Keywords

weak solution; Girsanov theorem; forward-backward stochastic differential equation; Yamada-Watanabe theorem; Burgers equation.

Mathematics Subject Classification ID

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

60H30: Applications of stochastic analysis (to PDEs, etc.)

60H20: Stochastic integral equations

Related Items

One dimensional BSDEs with logarithmic growth application to PDEs, Weak solutions of backward stochastic differential equations with continuous generator, Existence and Uniqueness of Multidimensional BSDEs and of Systems of Degenerate PDEs with Superlinear Growth Generator

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