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The Wellposedness of FBSDEs (II)
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This paper is a continuation of \cite{zhang}, in which we established the wellposedness result and a comparison theorem for a class of one dimensional Forward-Backward SDEs. In this paper we extend the wellposedness result to high dimensional FBSDEs, and weaken the key condition in \cite{zhang} significantly. Compared to the existing methods in the literature, our result has the following features: (i) arbitrary time duration; (ii) random coefficients; (iii) (possibly) degenerate forward diffusion; and (iv) no monotonicity condition.
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Cited by 1 Pith paper
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The Wellposedness of Path-dependent Multidimensional Forward-backward SDE
Path-dependent multidimensional forward-backward stochastic differential equations have a unique stable solution whenever a constructed decoupling field and a dominating ODE stay bounded.
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