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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
Issue number2
Publication statusPublished - Jun 2015


  • 1112.4978v2

    1112.4978v2.pdf, 301 KB, application/pdf


    Submitted manuscript

King's Authors


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.

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