On an Asymptotic Expansion of Forward-Backward SDEs with a Perturbed Driver
نویسندگان
چکیده
منابع مشابه
On weak solutions of forward–backward SDEs
In this paper we continue exploring the notion of weak solution of forward–backward stochastic differential equations (FBSDEs) and associated forward–backward martingale problems (FBMPs). The main purpose of this work is to remove the constraints on the martingale integrands in the uniqueness proofs in our previous work (Ma et al. in Ann Probab 36(6):2092–2125, 2008). We consider a general clas...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2013
ISSN: 1556-5068
DOI: 10.2139/ssrn.2319358