Solutions for functional fully coupled forward-backward stochastic differential equations

被引：0

作者：

Ji, Shaolin

Yang, Shuzhen ^{[1
]}

机构：

[1] Shandong Univ, Inst Financial Studies, Jinan 250100, Shandong, Peoples R China

来源：

STATISTICS & PROBABILITY LETTERS | 2015年 / 99卷

基金：

中国国家自然科学基金;

关键词：

Forward-backward stochastic differential equations (FBSDEs); Monotonicity conditions; Continuation method;

D O I：

10.1016/j.spl.2015.01.009

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 a functional fully coupled forward-backward stochastic differential equation (FBSDE). For this functional FBSDE, the classical Lipschitz and monotonicity conditions which guarantee the existence and uniqueness of the solution to FBSDE are no longer applicable. To overcome this difficulty, we propose a completely new type of Lipschitz and monotonicity condition in which an integral term with respect to the path of X(t)(0 <= t <= T) is involved. Under this integral Lipschitz and monotonicity conditions, the existence and uniqueness of solutions for functional fully coupled FBSDEs is proved. (C) 2015 Published by Elsevier B.V.

引用

页码：70 / 76

页数：7

共 17 条

[1]

[Anonymous], ANN APPL PROBAB

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