Fully coupled forward-backward stochastic dynamics and functional differential systems
arXiv:1112.4978 · doi:10.1142/s0219493715500069
Abstract
This article introduces and solves a general class of fully coupled forward-backward stochastic dynamics by investigating the associated system of functional differential equations. As a consequence, we are able to solve many different types of forward-backward stochastic differential equations (FBSDEs) that do not fit in the classical setting. In our approach, the equations are running in the same time direction rather than in a forward and backward way, and the conflicting nature of the structure of FBSDEs is therefore avoided.
24 pages