Fully coupled forward–backward stochastic dynamics and functional differential systems
- Casserini, Matteo Department of Mathematics, ETH Zürich, Switzerland
- Liang, Gechun Oxford-Man Institute, University of Oxford, UK
- 2015-4-6
Published in:
- Stochastics and Dynamics. - World Scientific Pub Co Pte Lt. - 2015, vol. 15, no. 02, p. 1550006
English
This paper introduces and solves a general class of fully coupled forward–backward stochastic dynamics by investigating the associated system of functional differential equations. As a consequence, we are able to solve many different types of forward–backward stochastic differential equations (FBSDEs) that do not fit in the classical setting. In our approach, the equations are running in the same time direction rather than in a forward and backward way, and the conflicting nature of the structure of FBSDEs is therefore avoided.
- Language
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- English
- Open access status
- green
- Identifiers
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- DOI 10.1142/s0219493715500069
- ISSN 0219-4937
- Persistent URL
- https://sonar.ch/global/documents/139943
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