General Fully Coupled Forward Backward Stochastic Differential Equations with delayed generator

Auguste Aman; Harouna Coulibaly; Jasmina Djordjevic

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arXiv · 2111.13973

General Fully Coupled Forward Backward Stochastic Differential Equations with delayed generator

Auguste Aman·Harouna Coulibaly·Jasmina Djordjevic

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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.

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Auguste Aman, Harouna Coulibaly, Jasmina Djordjevic. 2021-11-27. General Fully Coupled Forward Backward Stochastic Differential Equations with delayed generator. https://arxiv.org/abs/2111.13973

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