Coupling of forward-backward stochastic differential equations on the Wiener space, and application on regularity
Abstract
S. Geiss and J. Ylinen proposed the coupling method Geiss:Ylinen:21 to investigate the regularity for the solution to the backward stochastic differential equations with random coefficients. In this paper, we explore this method in setting for the forward-backward stochastic differential equation with random and Lipschitz coefficients, We obtain the regularity in time, and the Malliavin Sobolev D1,2 differentiability for the solution.
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