Abstract
This paper studies, under some natural monotonicity conditions, the theory (existence and uniqueness, a priori estimate, continuous dependence on a parameter) of forward–backward stochastic differential equations and their connection with quasilinear parabolic partial differential equations. We use a purely probabilistic approach, and allow the forward equation to be degenerate.
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Received: 12 May 1997 / Revised version: 10 January 1999
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Pardoux, E., Tang, S. Forward-backward stochastic differential equations and quasilinear parabolic PDEs. Probab Theory Relat Fields 114, 123–150 (1999). https://doi.org/10.1007/s004409970001
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DOI: https://doi.org/10.1007/s004409970001
- Mathematics Subject Classification (1991): Primary 60H10, 60G44; Secondary 35K55