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20052008
most citedTime discretization and Markovian iteration for coupled FBSDEs

79 citations · 102 across the 3 of their papers we have counts for

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math.PR2005★ 15 cited

Representation of solutions to BSDEs associated with a degenerate FSDE

Jianfeng Zhang

In this paper we investigate a class of decoupled forward-backward SDEs, where the volatility of the FSDE is degenerate and the terminal value of the BSDE is a discontinuous functi…