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On non-Markovian forward–backward SDEs and backward stochastic PDEs

✍ Scribed by Jin Ma; Hong Yin; Jianfeng Zhang


Book ID
118155596
Publisher
Elsevier Science
Year
2012
Tongue
English
Weight
295 KB
Volume
122
Category
Article
ISSN
0304-4149

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📜 SIMILAR VOLUMES


On the solution of forward–backward SDEs
✍ Ying Hu 📂 Article 📅 2000 🏛 Elsevier Science 🌐 English ⚖ 98 KB

in the forward equation (see also [13] for the existence of solution to one-dimensional FBSDEs with bounded Lipschitz coe cients and non-degenerate di usion in the forward equation). In [14], Hu and Peng introduced the monotonicity condition, under which the FBSDEs can be solved, and their main idea