Existence of the solutions of backward-forward SDE's with continuous monotone coefficients

DOI10.1016/j.spl.2006.03.018zbMath1101.60038OpenAlexW2091541452MaRDI QIDQ2497820

Fabio Antonelli, Said Hamadène

Publication date: 4 August 2006

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2006.03.018

zbMATH Keywords

minimal and maximal solutionsexistence of solutionbackward-forward stochastic differential equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items (13)

Some Results on Reflected Forward-Backward Stochastic differential equations ⋮ The equivalence between uniqueness and continuous dependence of solutions for FBSDEs with continuous monotone coefficients ⋮ Global existence for quadratic FBSDE systems and application to stochastic differential games ⋮ Existence of global solutions for multi-dimensional coupled FBSDEs with diagonally quadratic generators ⋮ Solvability of coupled FBSDEs with diagonally quadratic generators ⋮ Sur l'existence de solutions d'équations différentielles stochastiques progréssives rétrogrades couplées ⋮ Reflected forward-backward stochastic differential equations with continuous monotone coefficients ⋮ Multidimensional Markovian FBSDEs with super-quadratic growth ⋮ Forward-backward stochastic differential equations driven by \(G\)-Brownian motion ⋮ A note on FBSDE characterization of mean exit times ⋮ Equilibrium asset pricing with transaction costs ⋮ Strong solutions of forward-backward stochastic differential equations with measurable coefficients ⋮ Reflected forward-backward stochastic differential equations driven by \(G\)-Brownian motion with continuous monotone coefficients

Cites Work

• Adapted solution of a backward stochastic differential equation
• Backward-forward stochastic differential equations
• Solving forward-backward stochastic differential equations explicitly -- a four step scheme
• Backward stochastic differential equations with continuous coefficient
• Backward-forward SDE's and stochastic differential games
• Hedging options for a large investor and forward-backward SDE's
• Backward stochastic differential equations and partial differential equations with quadratic growth.
• Solution of forward-backward stochastic differential equations
• Backward Stochastic Differential Equations in Finance
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