Summary
In this paper, we study the existence and uniqueness of the solution to forward-backward stochastic differential equations without the nondegeneracy condition for the forward equation. Under a certain “monotonicity” condition, we prove the existence and uniqueness of the solution to forward-backward stochastic differential equations.
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Hu, Y., Peng, S. Solution of forward-backward stochastic differential equations. Probab. Th. Rel. Fields 103, 273–283 (1995). https://doi.org/10.1007/BF01204218
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DOI: https://doi.org/10.1007/BF01204218
Mathematics Subject Classification
- 60H10
- 60H20