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We consider a system of fully coupled forward-backward stochastic
differential equations. First we generalize the results of
Pardoux-Tang [7] concerning the regularity of the solutions with
respect to initial conditions. Then, we prove that in some particular
cases this system leads to a
probabilistic representation of solutions of a second-order PDE whose
second order coefficients depend on the gradient of the solution. We
then give some examples in dimension 1 and dimension 2 for which the
assumptions...
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