Ji, Shaolin; Yang, Shuzhen - In: Statistics & Probability Letters 99 (2015) C, pp. 70-76
In this paper, we study a functional fully coupled forward–backward stochastic differential equation (FBSDE). For this functional FBSDE, the classical Lipschitz and monotonicity conditions which guarantee the existence and uniqueness of the solution to FBSDE are no longer applicable. To...