Forward-backward stochastic equations: a functional fixed point approach

DOI10.1080/07362994.2021.1988857MaRDI QIDQ5876574zbMATH OpenOpenAlexFDO

Authors Kihun Nam, Yunxi Xu

Publication date 1 February 2023

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

Full work available at URL https://doi.org/10.1080/07362994.2021.1988857

zbMATH Keywords

fixed point theoremforward backward stochastic differential equationpath-dependent coefficientsforward backward stochastic equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Iterative procedures involving nonlinear operators (47J25)

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Cites work

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• A TRANSFORMATION OF THE PHASE SPACE OF A DIFFUSION PROCESS THAT REMOVES THE DRIFT
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• An Example of a Stochastic Differential Equation Having No Strong Solution
• An introduction to infinite-dimensional analysis
• Anticipated backward stochastic differential equations
• BSE's, BSDE's and fixed-point problems
• Backward stochastic dynamics on a filtered probability space
• FBDEs with time delayed generators: \(L^{p}\)-solutions, differentiability, representation formulas and path regularity
• Flows for singular stochastic differential equations with unbounded drifts
• Forward-backward stochastic differential equations and controlled McKean-Vlasov dynamics
• Fully coupled forward-backward stochastic dynamics and functional differential systems
• On well-posedness of forward-backward SDEs -- a unified approach
• Some properties of generalized anticipated backward stochastic differential equations
• Strong solutions of stochastic equations with rank-based coefficients

Cited in

(10)

• Functional inequalities for forward and backward diffusions
• Two fixed point theorems in complete random normed modules and their applications to backward stochastic equations
• An applications of Schauder's fixed point theorem to backward stochastic differential equations
• Fully coupled forward-backward stochastic dynamics and functional differential systems
• BSE's, BSDE's and fixed-point problems
• Forward-backward stochastic differential equations and their applications
• Solutions for functional fully coupled forward-backward stochastic differential equations
• Forward-backward stochastic differential equations with nonsmooth coefficients.
• On Solutions of Forward‐Backward Stochastic Differential Equations with Poisson Jumps
• scientific article; zbMATH DE number 7563975 (Why is no real title available?)

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