Infinite horizon forward-backward stochastic differential equations

被引：65
作者：
Peng, SG [1 ]
Shi, YF [1 ]
机构：
[1] Shandong Univ, Coll Math & Syst Sci, Jinan 250100, Peoples R China
来源：
STOCHASTIC PROCESSES AND THEIR APPLICATIONS | 2000年 / 85卷 / 01期
基金：
中国国家自然科学基金;
关键词：
infinite horizon; forward-backward stochastic differential equations; homotopy; global exponential asymptotical stability; Lyapunov function;
D O I：
10.1016/S0304-4149(99)00066-6
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：
A class of systems of infinite horizon forward-backward stochastic differential equations is investigated. Under some monotonicity assumptions, the existence and uniqueness results are established by means of a homotopy method. The global exponential asymptotical stability is also obtained. A comparison theorem is given. (C) 2000 Elsevier Science B.V. All rights reserved.
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收藏
页码：75 / 92
页数：18
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