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Probability Theory and Related Fields

, Volume 107, Issue 4, pp 537–572 | Cite as

Finding adapted solutions of forward–backward stochastic differential equations: method of continuation

  • Jiongmin Yong

Summary.

The notion of bridge is introduced for systems of coupled forward–backward stochastic differential equations (FBSDEs, for short). This notion helps us to unify the method of continuation in finding adapted solutions to such FBSDEs over any finite time durations. It is proved that if two FBSDEs are linked by a bridge, then they have the same unique solvability. Consequently, by constructing appropriate bridges, we obtain several classes of uniquely solvable FBSDEs.

Mathematics Subject Classification (1991): 60H10 

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Copyright information

© Springer-Verlag Berlin Heidelberg 1997

Authors and Affiliations

  • Jiongmin Yong
    • 1
  1. 1.Department of Mathematics, Fudan University, Shanghai 200433, ChinaCN

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