Strong solutions of forward–backward stochastic differential equations with measurable coefficients

Peng Luo, Olivier Menoukeu-Pamen, Ludovic Tangpi

Research output: Contribution to journalArticlepeer-review

2 Scopus citations

Abstract

This paper investigates solvability of fully coupled systems of forward–backward stochastic differential equations (FBSDEs) with irregular coefficients. In particular, we assume that the coefficients of the FBSDEs are merely measurable and bounded in the forward process. We crucially use compactness results from the theory of Malliavin calculus to construct strong solutions. Despite the irregularity of the coefficients, the solutions turn out to be differentiable, at least in the Malliavin sense and, as functions of the initial variable, in the Sobolev sense.

Original languageEnglish (US)
Pages (from-to)1-22
Number of pages22
JournalStochastic Processes and their Applications
Volume144
DOIs
StatePublished - Feb 2022

All Science Journal Classification (ASJC) codes

  • Statistics and Probability
  • Modeling and Simulation
  • Applied Mathematics

Keywords

  • FBSDE
  • Malliavin calculus
  • Singular coefficients
  • Singular PDEs
  • Sobolev regularity
  • Strong solutions

Fingerprint

Dive into the research topics of 'Strong solutions of forward–backward stochastic differential equations with measurable coefficients'. Together they form a unique fingerprint.

Cite this