Differentiability of quadratic forward-backward SDEs with rough drift

DOI10.1214/24-aap2079MaRDI QIDQ6620082

Olivier Menoukeu Pamen, Peter Imkeller, Rhoss Likibi Pellat

Publication date: 16 October 2024

Published in: The Annals of Applied Probability (Search for Journal in Brave)

zbMATH Keywords

Malliavin calculusstochastic flowsforward-backward stochastic differential equationsrough drift

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic calculus of variations and the Malliavin calculus (60H07) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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