Title: Coupling the decoupling field or: Besov regulartity of coupled forward-backward stochastic differential equations I (starts 9.00 sharp)
Abstract: A system of coupled forward-backward stochastic differential equations consists of a forward and a backward SDE, where the coefficients of both equations depend on both, the forward and backward component. By the Feynman-Kac theory there is an intrinsic connection to semi-linear PDEs.
This coupling of SDEs appears naturally in certain stochastic models. Coupled forward-backward SDEs are unstable in the sense that solutions might only exist on small time-intervals.
The talk, which is based on joint work with Xilin Zhou, shows how Besov regularity - defined by real interpolation and Malliavin differentiability - can be obtained by a general coupling method. The coupling method is applied to the decoupling field, where the meaning of coupling is very different, but gives rise to the pun
"Coupling the decoupling field".
