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A Functional Approach to FBSDEs and Its Application in Optimal Portfolios

Abstract:

In Liang et al (2009), the current authors demonstrated that BSDEs can be reformulated as functional differential equations, and as an application, they solved BSDEs on general filtered probability spaces. In this paper the authors continue the study of functional differential equations and demonstrate how such approach can be used to solve FBSDEs. By this approach the equations can be solved in one direction altogether rather than in a forward and backward way. The solutions of FBSDEs are th...

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Publication date:
2010-11-19
URN:
uuid:a125eb05-0e97-462f-898f-e8994f9e6b30
Source identifiers:
366683
Local pid:
pubs:366683

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