Coupling of forward-backward stochastic differential equations on the Wiener space, and application on regularity

Abstract

S. Geiss and J. Ylinen proposed the coupling method \cite{Geiss:Ylinen:21} to investigate the regularity for the solution to the backward stochastic differential equations with random coefficients. In this paper, we explore this method in setting for the forward-backward stochastic differential equation with random and Lipschitz coefficients, We obtain the regularity in time, and the Malliavin Sobolev ${\mathbb{D}}_{1,2}$ differentiability for the solution.