The wellposedness of FBSDEs | Zendy

Jianfeng Zhang | Zendy

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The wellposedness of FBSDEs

Author(s) -

Jianfeng Zhang

Publication year - 2006

Publication title -

discrete and continuous dynamical systems - b

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.864

H-Index - 53

eISSN - 1553-524X

pISSN - 1531-3492

DOI - 10.3934/dcdsb.2006.6.927

Subject(s) - monotonic function , mathematics , diffusion , degenerate energy levels , work (physics) , class (philosophy) , statistical physics , mathematical analysis , computer science , physics , artificial intelligence , thermodynamics , quantum mechanics

This paper is a continuation of \cite{zhang}, in which we established the wellposedness result and a comparison theorem for a class of one dimensional Forward-Backward SDEs. In this paper we extend the wellposedness result to high dimensional FBSDEs, and weaken the key condition in \cite{zhang} significantly. 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.

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