On Wellposedness of Forward-Backward SDEs --- A Unified Approach

Details On Wellposedness of Forward-Backward SDEs --- A Unified Approach On Wellposedness of Forward-Backward SDEs --- A Unified Approach

2011-10-20

arxiv.org/abs/1110.4658v1

Mathematics

Probability

Scientific paper

In this paper we study the wellposedness of the forward-backward stochastic differential equations (FBSDE) in a general non-Markovian framework. The main purpose is to find a unified scheme which combines all existing methodology in the literature, and to overcome some fundamental difficulties that have been longstanding problems for non-Markovian FBSDEs. Our main devices are a {\it decoupling random field} and its associated {\it characteristic BSDE}, a backward stochastic Riccati-type equation with superlinear growth in both components $Y$ and $Z$. We establish various sufficient conditions under which the characteristic BSDE is wellposed, which leads to the existence of the decoupling random field, and ultimately to the solvability of the original FBSDE. We show that all existing frameworks could be analyzed using our new criteria.

Affiliated with

Also associated with

No associations

Rating

On Wellposedness of Forward-Backward SDEs --- A Unified Approach does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with On Wellposedness of Forward-Backward SDEs --- A Unified Approach, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and On Wellposedness of Forward-Backward SDEs --- A Unified Approach will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-84611