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Forward–backward stochastic differential equations with delay generators

Published:2022-12-30 Issue:02 Volume:23 Page:
ISSN:0219-4937
Container-title:Stochastics and Dynamics
language:en
Short-container-title:Stoch. Dyn.

Author:

Aman Auguste¹,Coulibaly Harouna²,Đorđević Jasmina³⁴

Affiliation:

1. UFR Maths et Informatique, Université Félix H. Boigny, Abidjan, Côte d’Ivoire

2. Ecole Supérieure Africaines des TIC, Abidjan, Côte d’Ivoire

3. Department of Mathematics, University of Oslo, Oslo, Norway

4. Faculty of Science and Mathematics, University of Niš, Niš, Serbia

Abstract

In this paper, we prove a result of existence and uniqueness of solutions to coupled forward–backward stochastic differential equations with delayed generators under a Lipschitz condition.

Funder

RCN Project

Publisher

World Scientific Pub Co Pte Ltd

Subject

Modeling and Simulation

Link

https://www.worldscientific.com/doi/pdf/10.1142/S0219493723500120

Reference34 articles.

1. Backward-Forward Stochastic Differential Equations

2. Disappointment in Decision Making Under Uncertainty

3. BSDEs with Time-Delayed Generators of a Moving Average Type with Applications to Non-Monotone Preferences

4. Backward stochastic differential equations with time delayed generators—results and counterexamples

5. On Malliavin’s differentiability of BSDEs with time delayed generators driven by Brownian motions and Poisson random measures

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