Approximate Solvability of Forward-Backward Stochastic Differential Equations
Journal Article
·
· Applied Mathematics and Optimization
- Laboratory of Mathematics for Nonlinear Sciences, Department of Mathematics, and Institute of Mathematical Finance, Fudan University, Shanghai 200433 (China)
The solvability of forward-backward stochastic differential equations (FBSDEs for short) has been studied extensively in recent years. To guarantee the existence and uniqueness of adapted solutions, many different conditions, some quite restrictive, have been imposed. In this paper we propose a new notion: the approximate solvability of FBSDEs, based on the method of optimal control introduced in our primary work [15]. The approximate solvability of a class of FBSDEs is shown under mild conditions; and a general scheme for constructing approximate adapted solutions is proposed.
- OSTI ID:
- 21067500
- Journal Information:
- Applied Mathematics and Optimization, Journal Name: Applied Mathematics and Optimization Journal Issue: 1 Vol. 45; ISSN 0095-4616
- Country of Publication:
- United States
- Language:
- English
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