On path-dependent multidimensional forward-backward SDEs

DOI10.3934/NACO.2022010zbMATH Open1515.60194arXiv2201.05016OpenAlexW4221157038MaRDI QIDQ6164086FDOQ6164086

Authors: Kaitong Hu, Zhenjie Ren, Nizar Touzi 

Publication date: 26 July 2023

Published in: Numerical Algebra, Control and Optimization (Search for Journal in Brave)

Abstract: This paper extends the results of Ma, Wu, Zhang, Zhang [11] to the context of path-dependent multidimensional forward-backward stochastic differential equations (FBSDE). By path-dependent we mean that the coefficients of the forward-backward SDE at time t can depend on the whole path of the forward process up to time t. Such a situation appears when solving path-dependent stochastic control problems by means of variational calculus. At the heart of our analysis is the construction of a decoupling random field on the path space. We first prove the existence and the uniqueness of decoupling field on small time interval. Then by introducing the characteristic BSDE, we show that a global decoupling field can be constructed by patching local solutions together as long as the solution of the characteristic BSDE remains bounded. Finally, we provide a stability result for path-dependent forward-backward SDEs.

Full work available at URL: https://arxiv.org/abs/2201.05016

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zbMATH Keywords

decoupling random fieldforward-backward SDEbackward stochastic Riccati equationscharacteristic BSDE

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) PDEs with randomness, stochastic partial differential equations (35R60) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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Cited In (6)

• A forward-backward SDE approach to affine models
• Forward-backward SDEs and the CIR model
• On non-Markovian forward-backward SDEs and backward stochastic PDEs
• \(G\)-expectation weighted Sobolev spaces, backward SDE and path dependent PDE
• Multi-dimensional path-dependent forward-backward stochastic variational inequalities
• Path-Dependent SDEs in Hilbert Spaces

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