FBSDE

AcronymDefinition
FBSDEForward-Backward Stochastic Differential Equation
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References in periodicals archive ?
Thus we fix [epsilon] and proceed to study the unconstrained problem (54) in the context of Section 4: consider the controlled FBSDE system consisting of
According to Lemma 1, [mathematical expression not reproducible] can be found as the solution of the fully coupled system of FBSDE (72) and (75).