Abstract
Abstract In this article, we introduce the basic theory of forward–backward stochastic differential equations (FBSDEs), including both decoupled and coupled ones. In the Markovian case, FBSDEs are closely associated with parabolic partial differential equations (PDEs), via the so‐called nonlinear Feynman–Kac formula. We also introduce several typical applications of FBSDEs, most notably in option pricing theory and in stochastic control.
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