King's College London

Research portal

Fully coupled forward-backward stochastic dynamics and functional differential systems

Research output: Contribution to journalArticle

Matteo Casserini, Gechun Liang

Original languageEnglish
Number of pages25
JournalStochastics and Dynamics
Volume15
Issue number2
DOIs
Publication statusPublished - Jun 2015

Documents

  • 1112.4978v2

    1112.4978v2.pdf, 301 KB, application/pdf

    7/04/2015

    Submitted manuscript

King's Authors

Abstract

This paper introduces and solves a general class of fully coupled forward-backward stochastic dynamics by investigating the associated system of functional differential equations. As a consequence, we are able to solve many different types of forward-backward stochastic differential equations (FBSDEs) that do not fit in the classical setting. In our approach, the equations are running in the same time direction rather than in a forward and backward way, and the conflicting nature of the structure of FBSDEs is therefore avoided.

Download statistics

No data available

View graph of relations

© 2018 King's College London | Strand | London WC2R 2LS | England | United Kingdom | Tel +44 (0)20 7836 5454