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

DOI10.1007/S13160-023-00566-XzbMATH Open1515.60216arXiv2112.12257MaRDI QIDQ6161981FDOQ6161981

Takahiro Tsuchiya

Publication date: 28 June 2023

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

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.

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

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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)

Cites Work

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• On well-posedness of forward-backward SDEs -- a unified approach
• On the existence and uniqueness of solutions to FBSDEs in a non-degenerate case.
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• Finding adapted solutions of forward-backward stochastic differential equations: Method of continuation

Cited In (2)

• Fully coupled forward-backward stochastic differential equations with general martingale
• Title not available (Why is that?)

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