Ma, Jin; Yin, Hong; Zhang, Jianfeng - In: Stochastic Processes and their Applications 122 (2012) 12, pp. 3980-4004
In this paper, we establish an equivalence relationship between the wellposedness of forward–backward SDEs (FBSDEs) with random coefficients and that of backward stochastic PDEs (BSPDEs). Using the notion of the “decoupling random field”, originally observed in the well-known Four Step...