General Fully Coupled Forward Backward Stochastic Differential Equations with delayed generator
Probability
2021-11-30 v1
Abstract
This paper is devoted to study different type of BSDE with delayed generator. We first establish an existence and uniqueness result under delayed Lipschitz condition for non homogenous backward stochastic differential equation with delayed generator. Next, existence and uniqueness result for general fully coupled forward backward stochastic differential equation with delayed coefficients has been derived.
Keywords
Cite
@article{arxiv.2111.13973,
title = {General Fully Coupled Forward Backward Stochastic Differential Equations with delayed generator},
author = {Auguste Aman and Harouna Coulibaly and Jasmina Djordjevic},
journal= {arXiv preprint arXiv:2111.13973},
year = {2021}
}
Comments
19 pages