Weak solutions and a Yamada–Watanabe theorem for FBSDEs

DOI10.1515/rose.2007.016zbMath1199.60199OpenAlexW2043864925MaRDI QIDQ5324841

Youssef Ouknine, Brahim Mezerdi, Khaled Bahlali, Modeste N'zi

Publication date: 8 August 2009

Published in: Random Operators and Stochastic Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/rose.2007.016

zbMATH Keywords

weak solutionGirsanov theoremforward-backward stochastic differential equationYamada-Watanabe theoremBurgers equation.

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic integral equations (60H20)

Related Items (6)

Existence and Uniqueness of Multidimensional BSDEs and of Systems of Degenerate PDEs with Superlinear Growth Generator ⋮ One dimensional BSDEs with logarithmic growth application to PDEs ⋮ Weak solutions of backward stochastic differential equations with continuous generator ⋮ Uniqueness of the nonlinear Schrödinger equation driven by jump processes ⋮ Existence of optimal controls for systems of controlled forward-backward doubly SDEs ⋮ A Mean Field Game of Optimal Portfolio Liquidation

Cites Work

• Adapted solution of a backward stochastic differential equation
• Weak existence and uniqueness for forward-backward SDEs
• Forward-backward stochastic differential equations and quasilinear parabolic PDEs
• Backward-forward stochastic differential equations
• Solving forward-backward stochastic differential equations explicitly -- a four step scheme
• On the existence and uniqueness of solutions to FBSDEs in a non-degenerate case.
• Backward-forward SDE's and stochastic differential games
• Solution of forward-backward stochastic differential equations
• Backward Stochastic Differential Equations in Finance
• Weak Solutions of Forward–Backward SDE's
• On the existence of solution to one–dimensional forward–backward sdes
• On Weak Solutions of Backward Stochastic Differential Equations

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