SOLUTION OF FORWARD-BACKWARD STOCHASTIC DIFFERENTIAL-EQUATIONS

被引：338
作者：
HU, Y [1 ]
PENG, S [1 ]
机构：
[1] SHANDONG UNIV,DEPT MATH,JINAN 250100,PEOPLES R CHINA
来源：
PROBABILITY THEORY AND RELATED FIELDS | 1995年 / 103卷 / 02期
关键词：
Mathematics Subject Classification: 60H10; 60H20;
D O I：
10.1007/BF01204218
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
In this paper, we study the existence and uniqueness of the solution to forward-backward stochastic differential equations without the nondegeneracy condition for the forward equation. Under a certain ''monotonicity'' condition, we prove the existence and uniqueness of the solution to forward-backward stochastic differential equations.
引用
收藏
页码：273 / 283
页数：11
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