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arXiv · 1112.4978

Fully coupled forward-backward stochastic dynamics and functional differential systems

Matteo Casserini·Gechun Liang
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Abstract

This article introduces and solves a general class of fully coupled forward-backward stochastic dynamics by investigating the associated system of functional differential equations. As a consequence, we are able to solve many different types of forward-backward stochastic differential equations (FBSDEs) that do not fit in the classical setting. In our approach, the equations are running in the same time direction rather than in a forward and backward way, and the conflicting nature of the structure of FBSDEs is therefore avoided.

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Matteo Casserini, Gechun Liang. 2011-12-21. Fully coupled forward-backward stochastic dynamics and functional differential systems. https://doi.org/10.1142/s0219493715500069

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