FULLY COUPLED FORWARD-BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS WITH GENERAL MARTINGALE

被引：0

作者：

李娟

机构：

[1] School of Mathematical Sciences Fudan University Shanghai 200433

[2] China Department of Mathematics

[3] Shandong University at Weihai

[4] Weihai 264200

来源：

Acta Mathematica Scientia | 2006年 / 03期

关键词：

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.

引用

页码：443 / 450

页数：8