Forward-backward stochastic differential equations with nonsmooth coefficients.

DOI10.1016/S0304-4149(99)00106-4zbMath1045.60058OpenAlexW1998742212MaRDI QIDQ1877391

Ying Hu, Jiong-min Yong

Publication date: 7 September 2004

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4149(99)00106-4

zbMATH Keywords

viscosity solutionforward-backward stochastic differential equationnonlinear Feynman-Kac formula

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Degenerate parabolic equations (35K65)

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