arXiv:1908.09208 Abstract | arXiv Analytics

arXiv:1908.09208 [math.PR]Abstract References Reviews Resources

The Wellposedness of Path-dependent Multidimensional Forward-backward SDE

Published 2019-08-24Version 1

We study in this paper the wellposedness of path-dependent multidimensional forward-backward SDE. By path-dependent we mean that the coefficients of the forward-backward SDE at time t can depend on the whole path of the forward process up to time t. These kinds of forward-backward SDE appear when solving path-dependent stochastic control problem by means of variational calculus. At the heart of our analysis is the construction of a decoupling random field on the path space. Finally, we show that the solution of a path-dependent forward-backward SDE is stable.

Categories: math.PR

Subjects: 60H07, 60H30, 35R60, 34F05

Keywords: path-dependent multidimensional forward-backward sde, wellposedness, solving path-dependent stochastic control problem, path-dependent forward-backward sde, sde appear

Related articles: Most relevant | Search more

arXiv:1110.4658 [math.PR] (Published 2011-10-20, updated 2015-06-29)

On well-posedness of forward-backward SDEs-A unified approach

Jin Ma, Zhen Wu, Detao Zhang, Jianfeng Zhang

arXiv:1003.6053 [math.PR] (Published 2010-03-31, updated 2012-02-26)

Wellposedness of Second Order Backward SDEs

H. Mete Soner, Nizar Touzi, Jianfeng Zhang

arXiv:1809.01742 [math.PR] (Published 2018-09-05)

On the wellposedness of some McKean models with moderated or singular diffusion coefficient