Forward-backward stochastic differential equations with mixed initial-terminal conditions

By Jiongmin Yong. 2009

79 citations recorded by the source corpus.

Well-posedness of forward-backward stochastic differential equations (FBSDEs, for short) in L P spaces with mixed initial-terminal conditions is studied. A notion of Lyapunov operator is introduced, whose existence leads to a priori estimates of the adapted solutions sufficient for the well-posedness of the corresponding FBSDEs, via the method of continuation. Various situations are discussed under which Lyapunov operators do exist.

Subfields: Control and Systems Engineering, Demography, Finance

View Paper: https://www.semanticscholar.org/paper/8e8bc683fab03b4d29d616c111e2a369c7ac54f3

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In Control and Systems Engineering

1. Zhen Wu
2. Jianfeng Zhang
3. Detao Zhang
4. Jin Ma
5. Christian Bender
6. Jessica Steiner

In Demography

1. Jianfeng Zhang
2. Jin Ma
3. Zhen Wu
4. Detao Zhang
5. Christian Bender
6. Adrien Richou
7. Jean-François Chassagneux
8. Shige Peng

In Finance

1. Jianfeng Zhang
2. Jin Ma
3. Zhen Wu
4. Detao Zhang
5. Christian Bender
6. Shige Peng
7. Jessica Steiner
8. Nizar Touzi

Citations in the corpus

• On well-posedness of forward-backward SDEs-A unified approach (2011, methodology): “This was a method that can treat non-Markovian FBSDEs with arbitrary duration, initiated by Hu-Peng [6] and Peng-Wu [17], and later developed by Yong [23] and recently in [26].”