[生物学]Weak Solutions for Backward Stochastic Differential Equations_ A Martingale Approach.pdfVIP

The Annals of Probability 2008, Vol. 36, No. 6, 2092–2125 DOI: 10.1214/08-AOP0383 © Institute of Mathematical Statistics, 2008 WEAK SOLUTIONS FOR FORWARD–BACKWARD SDES—A MARTINGALE PROBLEM APPROACH BY JIN MA ,1 JIANFENG ZHANG2 AND ZIYU ZHENG3 University of Southern California and Barclays Capital In this paper, we propose a new notion of Forward–Backward Martingale Problem (FBMP), and study its relationship with the weak solution to the forward–backward stochastic differential equations (FBSDEs). The FBMP extends the idea of the well-known (forward) martingale problem of Stroock and Varadhan, but it is structured specifically to fit the nature of an FBSDE. We first prove a general sufficient condition for the existence of the solution to the FBMP. In the Markovian case with uniformly continuous coefficients, we show that the weak solution to the FBSDE (or equivalently, the solution to the FBMP) does exist. Moreover, we prove that the uniqueness of the FBMP (whence the uniqueness of the weak solution) is determined by the unique- ness of the viscosity solution of the corresponding quasilinear PDE. 1. Introduction. The theory of backward stochastic differential equations (BSDEs for short) has matured tremendously since the seminal work of Pardoux and Peng [24]. The fundamental well-posedness of BSDEs with various conditions on the coefficients as well as terminal conditions have been studied extensively, which can be found in a large amount of literature. A commonly used list of refer- ence include the books of El Karoui and Mazliak [9] and Ma and Yong [18] for the basic theory of BSDEs, and the survey paper of El Karoui, Peng and Quenez [ 10] for the applications of BSDEs to mathematica