On weak solutions of forward-backward SDEs

DOI10.1007/s00440-010-0305-8zbMath1235.60067OpenAlexW3023775522MaRDI QIDQ662818

Jianfeng Zhang, Jin Ma

Publication date: 13 February 2012

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00440-010-0305-8

zbMATH Keywords

weak solutionviscosity solutionsforward-backward stochastic differential equationsforward-backward martingale problems

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05)

Related Items (7)

A class of quadratic forward-backward stochastic differential equations ⋮ Existence, Characterization, and Approximation in the Generalized Monotone-Follower Problem ⋮ Forward-backward stochastic differential equations: initiation, development and beyond ⋮ Maximum principle for stochastic control of SDEs with measurable drifts ⋮ Forward backward SDEs in weak formulation ⋮ Forward-Backward Stochastic Differential Equations Generated by Bernstein Diffusions ⋮ Strong solutions of forward-backward stochastic differential equations with measurable coefficients

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