Forward-backward stochastic differential equations and PDE with gradient dependent second order coefficients
Author:
Publisher
EDP Sciences
Subject
Statistics and Probability
Link
http://www.esaim-ps.org/10.1051/ps:2006005/pdf
Reference8 articles.
1. Backward-Forward Stochastic Differential Equations
2. On the existence and uniqueness of solutions to FBSDEs in a non-degenerate case
3. F. Delarue and S. Menozzi, A forward-backward stochastic algorithm for quasi-linear PDEs.Ann. Appl. Probab.16(2006).
4. Solving forward-backward stochastic differential equations explicitly — a four step scheme
5. J. Ma and J. Yong, Forward-backward stochastic differential equations and their applications. Springer, Berlin.Lect. Notes Math.1702(1999).
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