Article ID Journal Published Year Pages File Type
1156566 Stochastic Processes and their Applications 2014 22 Pages PDF
Abstract
In this paper we study the solvability of a class of fully-coupled forward-backward stochastic partial differential equations (FBSPDEs). These FBSPDEs cannot be put into the framework of stochastic evolution equations in general, and the usual decoupling methods for the Markovian forward-backward SDEs are difficult to apply. We prove the well-posedness of the FBSPDEs, under various conditions on the coefficients, by using either the method of contraction mapping or the method of continuation. These conditions, especially in the higher dimensional case, are novel in the literature.
Related Topics
Physical Sciences and Engineering Mathematics Mathematics (General)
Authors
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