Forward-Backward SDEs

Jakša Cvitanić and Jianfeng Zhang
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Jakša Cvitanić: California Institute of Technology
Jianfeng Zhang: University of Southern California

Chapter Chapter 11 in Contract Theory in Continuous-Time Models, 2013, pp 229-248 from Springer

Abstract: Abstract The theory of existence and uniqueness of FBSDEs is not as satisfactorily developed as the one for BSDEs. Even linear FBSDEs do not necessarily have a solution. We present several approaches to establishing existence and uniqueness under specific conditions.

Keywords: Forward-backward SDEs; Deterministic Measurable Functions; Fixed Point Approach; Assume Assumption; Four-step Strategy (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprfcp:978-3-642-14200-0_11

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DOI: 10.1007/978-3-642-14200-0_11

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