On weak solutions of forward-backward SDEs

DOI10.1007/s00440-010-0305-8zbMath1235.60067MaRDI QIDQ662818

Jin Ma, Jianfeng Zhang

Publication date: 13 February 2012

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00440-010-0305-8

zbMATH Keywords

weak solution; viscosity solutions; forward-backward stochastic differential equations; forward-backward martingale problems

Mathematics Subject Classification ID

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

34F05: Ordinary differential equations and systems with randomness

Related Items

Forward-Backward Stochastic Differential Equations Generated by Bernstein Diffusions, Existence, Characterization, and Approximation in the Generalized Monotone-Follower Problem

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Adapted solution of a backward stochastic differential equation
• Weak existence and uniqueness for forward-backward SDEs
• Viscosity solutions of fully nonlinear second-order elliptic partial differential equations
• Examples of singular parabolic measures and singular transition probability densities
• Forward-backward stochastic differential equations and their applications
• Forward-backward stochastic differential equations and quasilinear parabolic PDEs
• Backward-forward stochastic differential equations
• Solving forward-backward stochastic differential equations explicitly -- a four step scheme
• Finding adapted solutions of forward-backward stochastic differential equations: Method of continuation
• Backward stochastic differential equations with continuous coefficient
• Uniqueness results for quasilinear parabolic equations through viscosity solutions' methods
• On the existence and uniqueness of solutions to FBSDEs in a non-degenerate case.
• Backward stochastic differential equations and partial differential equations with quadratic growth.
• Solvability of forward-backward SDEs and the nodal set of Hamilton- Jacobi-Bellman equations
• Solution of forward-backward stochastic differential equations
• Degenerate parabolic PDEs with discontinuities and generalized evolutions of surfaces
• The Yamada-Watanabe-Engelbert theorem for general stochastic equations and inequalities
• The wellposedness of FBSDEs
• Weak solutions for forward-backward SDEs-a martingale problem approach
• Weak Dynamic Programming Principle for Viscosity Solutions
• Continuity of Solutions of Parabolic and Elliptic Equations
• On the Continuity of Weak Solutions of Backward Stochastic Differential Equations
• User’s guide to viscosity solutions of second order partial differential equations
• Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control
• Weak Solutions of Forward–Backward SDE's
• A Backward Stochastic Differential Equation without Strong Solution
• On Weak Solutions of Backward Stochastic Differential Equations