A New Approach for Solving Delayed Forward and Backward Stochastic Differential Equations
Abstract
This paper is concerned with the decoupling of delayed linear forward-backward stochastic differential equations (D-FBSDEs), which is much more involved than the delay-free case due to the infinite dimension caused by the delay. A new approach of `discretization' is proposed to obtain the explicit solution to the D-FBSDEs. Firstly, we transform the continuous-time D-FBSDEs into the discrete-time form by using discretization. Secondly, we derive the solution of the discrete-time D-FBSDEs by applying backward iterative induction. Finally the explicit solution of the continuous-time D-FBSDEs is obtained by taking the limit to the solution of discrete-time form. The proposed approach can be applied to solve more general FBSDEs with delay, which would provide a complete solution to the stochastic LQ control with time delay.
Keywords
Cite
@article{arxiv.2008.03488,
title = {A New Approach for Solving Delayed Forward and Backward Stochastic Differential Equations},
author = {Tianfu Ma and Juanjuan Xu and Huanshui Zhang},
journal= {arXiv preprint arXiv:2008.03488},
year = {2020}
}
Comments
16 pages