On non-Markovian forward–backward SDEs and backward stochastic PDEs
نویسندگان
چکیده
منابع مشابه
Four step scheme for general Markovian forward-backward SDES
Abstract This paper studies a class of forward-backward stochastic differential equations (FBSDE) in a general Markovian framework. The forward SDE represents a large class of strong Markov semimartingales, and the backward generator requires only mild regularity assumptions. The authors show that the Four Step Scheme introduced by Ma, et al. (1994) is still effective in this case. Namely, the ...
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ژورنال
عنوان ژورنال: Stochastic Processes and their Applications
سال: 2012
ISSN: 0304-4149
DOI: 10.1016/j.spa.2012.08.002