Fully coupled forward-backward stochastic dynamics and functional differential systems
Probability
2026-05-01 v2 Dynamical Systems
Abstract
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.
Keywords
Cite
@article{arxiv.1112.4978,
title = {Fully coupled forward-backward stochastic dynamics and functional differential systems},
author = {Matteo Casserini and Gechun Liang},
journal= {arXiv preprint arXiv:1112.4978},
year = {2026}
}
Comments
24 pages