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math.PR2013
Solutions for Functional Fully Coupled Forward-Backward Stochastic Differential Equations
Shaolin Ji, Shuzhen Yang
In this paper, we study a functional fully coupled forward-backward stochastic differential equations (FBSDEs). Under a new type of integral Lipschitz and monotonicity conditions,…
math.PR2013
The Dupire derivatives and Fréchet derivatives on continuous pathes
Shaolin Ji, Shuzhen Yang
In this paper, we study the relation between Fréchet derivatives and Dupire derivatives, in which the latter are recently introduced by Dupire [4]. After introducing the definition…