Author

Kuan Zhang

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Preprint Sep 2026

Rough backward stochastic differential equations

We develop an intrinsic well-posedness theory for nonlinear backward stochastic differential equations (BSDEs) driven simultaneously by Brownian motion and a (level-$2$) rough path of finite $p$-variation. Unlike earlier approaches based on smooth approximation or transformation methods, we formulate the equation direc...

P. Friz, Jian Song, Hui-Lin Zhang et al. · 0 citations