The Wellposedness of FBSDEs (II)

Jianfeng Zhang

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arXiv · 1708.05785

The Wellposedness of FBSDEs (II)

Jianfeng Zhang

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Abstract

This paper is a continuation of \cite{zhang}, in which we established the wellposedness result and a comparison theorem for a class of one dimensional Forward-Backward SDEs. In this paper we extend the wellposedness result to high dimensional FBSDEs, and weaken the key condition in \cite{zhang} significantly. Compared to the existing methods in the literature, our result has the following features: (i) arbitrary time duration; (ii) random coefficients; (iii) (possibly) degenerate forward diffusion; and (iv) no monotonicity condition.

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Jianfeng Zhang. 2017-08-19. The Wellposedness of FBSDEs (II). https://arxiv.org/abs/1708.05785

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