Forward-backward stochastic differential equations with nonsmooth coefficients

Ying Hu and Jiongmin Yong

Stochastic Processes and their Applications, 2000, vol. 87, issue 1, 93-106

Abstract: Solvability of forward-backward stochastic differential equations with nonsmooth coefficients is considered using the Four-Step Scheme and some approximation arguments. For the one-dimensional case, the existence of an adapted solution is established for the equation which allows the diffusion in the forward equation to be degenerate. As a byproduct, we obtain the existence of a viscosity solution to a one-dimensional nonsmooth degenerate quasilinear parabolic partial differential equation.

Keywords: Forward-backward; stochastic; differential; equation; Four-step; scheme; Nonlinear; Feynman-Kac; formula; Viscosity; solution (search for similar items in EconPapers)
Date: 2000
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Citations: View citations in EconPapers (15)

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