The Wellposedness of Fbsdes

@inproceedings{Zhang2006TheWO,
  title={The Wellposedness of Fbsdes},
  author={Jianfeng Zhang},
  year={2006}
}
In this paper we investigate the wellposedness of a class of ForwardBackward SDEs. Compared to the existing methods in the literature, our result has the following features: (i) arbitrary time duration; (ii) random coefficients; (iii) (possibly) degenerate forward diffusion; and (iv) no monotonicity condition. As a trade off, we impose some assumptions on the derivatives of the coefficients. A comparison theorem is also proved under the same conditions. This work is motivated by studying… CONTINUE READING

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