Fully coupled forward-backward stochastic dynamics and functional differential systems

Details Fully coupled forward-backward stochastic dynamics and functional differential systems Fully coupled forward-backward stochastic dynamics and functional differential systems

2011-12-21

arxiv.org/abs/1112.4978v1

Mathematics

Probability

24 pages

Scientific paper

This article 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.

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