On the existence and uniqueness of solutions to FBSDEs in a non-degenerate case |
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Institution: | Projet SYSDYS (INRIA/LATP), Institut Méditerranéen de Technologie, 38, rue Joliot-Curie, F-13451 Marseille Cedex 20, France |
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Abstract: | We prove a result of existence and uniqueness of solutions to forward–backward stochastic differential equations, with non-degeneracy of the diffusion matrix and boundedness of the coefficients as functions of x as main assumptions.This result is proved in two steps. The first part studies the problem of existence and uniqueness over a small enough time duration, whereas the second one explains, by using the connection with quasi-linear parabolic system of PDEs, how we can deduce, from this local result, the existence and uniqueness of a solution over an arbitrarily prescribed time duration. Improving this method, we obtain a result of existence and uniqueness of classical solutions to non-degenerate quasi-linear parabolic systems of PDEs.This approach relaxes the regularity assumptions required on the coefficients by the Four-Step scheme. |
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