arXiv:1708.05785 Abstract | arXiv Analytics

arXiv:1708.05785 [math.PR]Abstract References Reviews Resources

The Wellposedness of FBSDEs (II)

Published 2017-08-19Version 1

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.

Comments: This is an old note written in 2005, but was never submitted for publication

Categories: math.PR

Keywords: wellposedness result, arbitrary time duration, high dimensional fbsdes, random coefficients, comparison theorem

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