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| HAL: hal-00004089, version 2 |
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| Stochastic Processes and their Applications 116, 12 (2006) 1712-1742 |
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| Available versions: | v1 (2005-01-28) | v2 (2006-01-30) |
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| Weak Solvability Theorem for Forward-Backward SDEs |
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| Francois Delarue 1Giuseppina Guatteri 2 |
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| (2006-12) |
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| We establish the existence and uniqueness of weak solutions to a suitable class of non-degenerate FBSDEs with a one-dimensional backward component. The classical Lipschitz framework is weakened: the diffusion matrix and the final condition are space Holder continuous whereas the drift and the backward driver may be discontinuous in x. The growth of the backward driver is also allowed to be at most quadratic with respect to the gradient term. |
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| 1: | Laboratoire de Probabilités et Modèles Aléatoires (LPMA) |
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CNRS : UMR7599 – Université Pierre et Marie Curie [UPMC] - Paris VI – Université Paris VII - Paris Diderot |
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| 2: | Dipartimento di Matematica, "Francesco Brioschi" |
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Politecnico di Milano |
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| Subject | : | Mathematics/Probability |
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| FBSDEs – Quasi-linear PDEs – Calderon and Zygmund Estimates – Schauder's Estimates – Weak Existence and Uniqueness |
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| hal-00004089, version 2 | |
| http://hal.archives-ouvertes.fr/hal-00004089 | |
| oai:hal.archives-ouvertes.fr:hal-00004089 | |
| From: Francois Delarue | |
| Submitted on: Monday, 30 January 2006 20:01:31 | |
| Updated on: Monday, 17 December 2007 10:37:07 | |
