General Fully Coupled Forward Backward Stochastic Differential Equations\n with delayed generator

2021/11/27 by Auguste Aman, Aman, Auguste, Harouna Coulibaly +4
Computer Science · Economics, Econometrics and Finance · Engineering · Mathematics · #34F05 #60F10 #60H10 #60H30 #Advanced Mathematical Modeling in Engineering #Differential Equations and Numerical Methods #FOS: Mathematics #Probability (math.PR) #Stability and Controllability of Differential Equations #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.2111.13973

openalex publication_date 2021/11/27 · openalex created_date 2022/07/25 · openalex updated_date 2026/07/28

Abstract

This paper is devoted to study different type of BSDE with delayed generator.\nWe first establish an existence and uniqueness result under delayed Lipschitz\ncondition for non homogenous backward stochastic differential equation with\ndelayed generator. Next, existence and uniqueness result for general fully\ncoupled forward backward stochastic differential equation with delayed\ncoefficients has been derived.\n

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