On the existence of solution to one-dimensional forward-backward SDEs

Stochastic Analysis and Applications

Volumn 18, Issue 1, 2000, Pages 101-111

  Hu, Ying ^a  

^a UNIVERSITÉ DE RENNES 1   (France)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0034346511     PISSN: 07362994     EISSN: None     Source Type: Journal    
DOI: 10.1080/07362990008809657     Document Type: Article

References (11)

1. F. Antonelli: Backward-forward stochastic differential equations, Ann. Appl. Probab. 3, 1993 (777-793).
2. P. Briand, Y. Hu: Probabilistic approach to singular perturbations of semilinear and quasilinear parabolic PDE's, Nonlinear Anal., to appear.
3. R. Buckdahn, Y. Hu: Hedging contingent claims for a large investor in an incomplete market, Adv. in Appl. Probab. 30, 1998 (239-255).
4. R. Buckdahn, Y. Hu: Probabilistic approach to homogenizations of systems of quasilinear parabolic PDEs with periodic structures, Nonlinear Anal. 32, 1998 (609-619).
5. J. Cvitanic, J. Ma: Hedging options for a large investor and forwardbackward stochastic differential equations, Ann. Appl. Probab. 6, 1996 (940-968).
6. D. Duffie, J. Ma, J. Yong: Black's consol rate conjecture, Ann. Appl. Probab. 5, 1995 (356-382).
7. W. H. Fleming, H. M. Soner: Controlled Markov Processes and Viscosity Solutions, Springer, New York, 1993.
8. Y. Hu: N-person differential games governed by semilinear stochastic evolution systems, Appl. Math. Optim. 24, 1991 (257-271).
9. Y. Hu: Potential kernels associated with a filtration and forward-backward SDE's, Potential Anal., to appear.
10. Y. Hu, S. Peng: Solution of forward-backward stochastic differential equations, Probab. Theory Related Fields 103, 1995 (273-283).
11. J. Ma, P. Protter, J. Yong: Solving forward-backward stochastic differential equations explicitly - a four step scheme, Probab. Theory Related Fields 98, 1994 (339-359).