English

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

R2 v1 2026-06-21T19:55:06.284Z