Forward – backward stochastic di erential equations with nonsmooth coe cients
نویسنده
چکیده
Solvability of forward–backward stochastic di erential equations with nonsmooth coe cients is considered using the Four-Step Scheme and some approximation arguments. For the onedimensional case, the existence of an adapted solution is established for the equation which allows the di usion in the forward equation to be degenerate. As a byproduct, we obtain the existence of a viscosity solution to a one-dimensional nonsmooth degenerate quasilinear parabolic partial di erential equation. c © 2000 Elsevier Science B.V. All rights reserved.
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