Fully coupled drift-less forward and backward stochastic differential equations in a degenerate case

DOI10.1007/S13160-023-00566-XMaRDI QIDQ6161981zbMATH OpenFDO

Authors Takahiro Tsuchiya

Publication date 28 June 2023

Published in Japan Journal of Industrial and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2112.12257

zbMATH Keywords

global solutionsFBSDEsdegenerate coefficients

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Uniqueness problems for PDEs: global uniqueness, local uniqueness, non-uniqueness (35A02) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Abstract: Existence and uniqueness results of fully coupled forward stochastic differential equations without drifts and backward stochastic differential equations in a degenerate case are obtained for an arbitrarily large time duration.

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Cited in

(2)

• Fully coupled forward-backward stochastic differential equations with general martingale
• scientific article; zbMATH DE number 2177392 (Why is no real title available?)

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