Related papers: On well-posedness of forward-backward SDEs-A unifi…
We study in this paper the wellposedness of path-dependent multidimensional forward-backward stochastic differential equations (FBSDE). By path-dependent we mean that the coefficients of the forward-backward SDE at time t can depend on the…
In this paper, we study the global solvability of multidimensional forward-backward stochastic differential equations (FBSDEs) with diagonally Lipschitz, quadratic or super-quadratic generators. Under a certain "monotonicity" condition, we…
(Working Paper) Using a purely probabilistic argument, we prove the global well-posedness of multidimensional superquadratic backward stochastic differential equations (BSDEs) without Markovian assumption. The key technique is the interplay…
We solve the Skorokhod embedding problem for a class of Gaussian processes including Brownian motion with non-linear drift. Our approach relies on solving an associated strongly coupled system of Forward Backward Stochastic Differential…
In this paper, we investigate the Markovian iteration method for solving coupled forward-backward stochastic differential equations (FBSDEs) featuring a fully coupled forward drift, meaning the drift term explicitly depends on both the…
This paper investigates solvability of fully coupled systems of forward-backward stochastic differential equations (FBSDEs) with irregular coefficients. In particular, we assume that the coefficients of the FBSDEs are merely measurable and…
In this paper, we study a functional fully coupled forward-backward stochastic differential equations (FBSDEs). Under a new type of integral Lipschitz and monotonicity conditions, the existence and uniqueness of solutions for functional…
In this paper, we investigate the well-posedness of bounded and unbounded solutions for reflected backward stochastic differential equations (RBSDEs) and backward stochastic differential equations (BSDEs). The generators of these equations…
This paper extends the results of Ma, Wu, Zhang, Zhang [11] to the context of path-dependent multidimensional forward-backward stochastic differential equations (FBSDE). By path-dependent we mean that the coefficients of the…
This paper is dedicated to the presentation and the analysis of a numerical scheme for forward-backward SDEs of the McKean-Vlasov type, or equivalently for solutions to PDEs on the Wasserstein space. Because of the mean field structure of…
This paper establishes H\"{o}lder time regularity of solutions to coupled McKean-Vlasov forward-backward stochastic differential equations (MV-FBSDEs). This is not only of fundamental mathematical interest, but also essential for their…
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…
In this work, we extend deep learning-based numerical methods to fully coupled forward-backward stochastic differential equations (FBSDEs) within a non-Markovian framework. Error estimates and convergence are provided. In contrast to the…
We propose some numerical schemes for forward-backward stochastic differential equations (FBSDEs) based on a new fundamental concept of transposition solutions. These schemes exploit time-splitting methods for the variation of constants…
In this paper, we study a class of mean field type FBSDEs. We propose a class of motonotinity conditions, under which we show the uniformly Lipschitz continuity of the decoupling field and obtain the existence and uniqueness of solution. We…
Forward-backward stochastic differential equations (FBSDEs) have attracted significant attention since they were introduced almost 30 years ago, due to their wide range of applications, from solving non-linear PDEs to pricing American-type…
In [5] the authors obtained Mean-Field backward stochastic differential equations (BSDE) associated with a Mean-field stochastic differential equation (SDE) in a natural way as limit of some highly dimensional system of forward and backward…
In this paper, we study general mean-field backward stochastic differential equations (BSDEs, for short) with quadratic growth. First, the existence and uniqueness of local and global solutions are proved with some new ideas for a…
In this paper, we investigate two families of fully coupled linear Forward-Backward Stochastic Differential Equations (FBSDE). Within these families, one could get the same well-posedness of FBSDEs with totally different structures. The…
In this paper, we consider the solvability problems for the fully coupled forward-backward stochastic difference equations (FBS{\Delta}Es) on spaces related to discrete time, finite state processes. On one hand, we provide the necessary and…