We copy an interesting simple FBSDE with its many explicit solutions from [CD13].
Consider a system of equations with unknown triple given by
and
One can easily check that, for any real number , it has the solution of the form
We copy an interesting simple FBSDE with its many explicit solutions from [CD13].
Consider a system of equations with unknown triple given by
and
One can easily check that, for any real number , it has the solution of the form