Backward stochastic differential equations;
local martingale;
predictable representation property of martingale;
D O I:
暂无
中图分类号:
O175 [微分方程、积分方程];
学科分类号:
070104 ;
摘要:
The article first studies the fully coupled Forward-Backward Stochastic Differential Equations (FBSDEs) with the continuous local martingale. The article is mainly divided into two parts. In the first part, it considers Backward Stochastic Differential Equations (BSDEs) with the continuous local martingale. Then, on the basis of it, in the second part it considers the fully coupled FBSDEs with the continuous local martingale. It is proved that their solutions exist and are unique under the monotonicity conditions.
[2]
Solving forward-backward stochastic differential equations explicitly — a four step scheme[J] . Jin Ma,Philip Protter,Jiongmin Yong.  Probability Theory and Related Fields . 1994 (3)
[2]
Solving forward-backward stochastic differential equations explicitly — a four step scheme[J] . Jin Ma,Philip Protter,Jiongmin Yong.  Probability Theory and Related Fields . 1994 (3)