Solving Coupled Nonlinear Forward-backward Stochastic Differential Equations: An Optimization Perspective with Backward Measurability Loss

Yutian Wang, Yuan-Hua Ni, Xun Li

This paper aims to extend the BML method proposed in Wang et al. [22] to make it applicable to more general coupled nonlinear FBSDEs. We interpret BML from the fixed-point iteratio…