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Finding adapted solutions of forward–backward stochastic differential equations: method of continuation
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  • Published: April 1997

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

  • Jiongmin Yong1 

Probability Theory and Related Fields volume 107, pages 537–572 (1997)Cite this article

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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.

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Authors and Affiliations

  1. Department of Mathematics, Fudan University, Shanghai 200433, China, , , , , , CN

    Jiongmin Yong

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  1. Jiongmin Yong
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Received: 23 April 1996 / In revised form: 10 October 1996

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Cite this article

Yong, J. Finding adapted solutions of forward–backward stochastic differential equations: method of continuation. Probab Theory Relat Fields 107, 537–572 (1997). https://doi.org/10.1007/s004400050098

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  • Issue Date: April 1997

  • DOI: https://doi.org/10.1007/s004400050098

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  • Mathematics Subject Classification (1991): 60H10
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