The Wellposedness of FBSDEs (II)
Probability
2017-08-22 v1
Abstract
This paper is a continuation of \cite{zhang}, in which we established the wellposedness result and a comparison theorem for a class of one dimensional Forward-Backward SDEs. In this paper we extend the wellposedness result to high dimensional FBSDEs, and weaken the key condition in \cite{zhang} significantly. Compared to the existing methods in the literature, our result has the following features: (i) arbitrary time duration; (ii) random coefficients; (iii) (possibly) degenerate forward diffusion; and (iv) no monotonicity condition.
Keywords
Cite
@article{arxiv.1708.05785,
title = {The Wellposedness of FBSDEs (II)},
author = {Jianfeng Zhang},
journal= {arXiv preprint arXiv:1708.05785},
year = {2017}
}
Comments
This is an old note written in 2005, but was never submitted for publication