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Fully coupled forward-backward stochastic dynamics and functional differential systems

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Fully coupled forward-backward stochastic dynamics and functional differential systems. / Casserini, Matteo; Liang, Gechun.

In: Stochastics and Dynamics, Vol. 15, No. 2, 06.2015.

Research output: Contribution to journalArticle

Harvard

Casserini, M & Liang, G 2015, 'Fully coupled forward-backward stochastic dynamics and functional differential systems', Stochastics and Dynamics, vol. 15, no. 2. https://doi.org/10.1142/S0219493715500069

APA

Casserini, M., & Liang, G. (2015). Fully coupled forward-backward stochastic dynamics and functional differential systems. Stochastics and Dynamics, 15(2). https://doi.org/10.1142/S0219493715500069

Vancouver

Casserini M, Liang G. Fully coupled forward-backward stochastic dynamics and functional differential systems. Stochastics and Dynamics. 2015 Jun;15(2). https://doi.org/10.1142/S0219493715500069

Author

Casserini, Matteo ; Liang, Gechun. / Fully coupled forward-backward stochastic dynamics and functional differential systems. In: Stochastics and Dynamics. 2015 ; Vol. 15, No. 2.

Bibtex Download

@article{ac2cb3a79400435ebe34cb8b7b4c7d69,
title = "Fully coupled forward-backward stochastic dynamics and functional differential systems",
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.",
keywords = "Backward stochastic differential equation, BSDE, FBSDE, fully coupled forward-backward stochastic differential equation, functional differential equation, functional differential system",
author = "Matteo Casserini and Gechun Liang",
year = "2015",
month = jun,
doi = "10.1142/S0219493715500069",
language = "English",
volume = "15",
journal = "Stochastics and Dynamics",
issn = "0219-4937",
publisher = "World Scientific Publishing Co. Pte Ltd",
number = "2",

}

RIS (suitable for import to EndNote) Download

TY - JOUR

T1 - Fully coupled forward-backward stochastic dynamics and functional differential systems

AU - Casserini, Matteo

AU - Liang, Gechun

PY - 2015/6

Y1 - 2015/6

N2 - 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.

AB - 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.

KW - Backward stochastic differential equation

KW - BSDE

KW - FBSDE

KW - fully coupled forward-backward stochastic differential equation

KW - functional differential equation

KW - functional differential system

UR - http://www.scopus.com/inward/record.url?scp=84906530839&partnerID=8YFLogxK

U2 - 10.1142/S0219493715500069

DO - 10.1142/S0219493715500069

M3 - Article

VL - 15

JO - Stochastics and Dynamics

JF - Stochastics and Dynamics

SN - 0219-4937

IS - 2

ER -

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