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Forward-Backward SDEs

Author

Listed:
  • Jakša Cvitanić

    (California Institute of Technology
    EDHEC Business School)

  • Jianfeng Zhang

    (University of Southern California)

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.

Suggested Citation

Handle: RePEc:spr:sprfcp:978-3-642-14200-0_11
DOI: 10.1007/978-3-642-14200-0_11
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