Infinite Horizon Forward-Backward Doubly Stochastic Differential Equations and Related SPDEs

被引：0
作者：
Qing-feng Zhu
Liang-quan Zhang
Yu-feng Shi
机构：
[1] Shandong University of Finance and Economics,School of Mathematics and Quantitative Economics
[2] and Shandong Key Laboratory of Blockchain Finance,Institute for Financial Studies and School of Mathematics
[3] Shandong University,School of Science
[4] Beijing University of Posts and Telecommunications,undefined
来源：
Acta Mathematicae Applicatae Sinica, English Series | 2021年 / 37卷
关键词：
infinite horizon; forward-backward doubly stochastic differential equations; homotopy; stochastic partial differential equation; 60H10; 60H15;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
A type of infinite horizon forward-backward doubly stochastic differential equations is studied. Under some monotonicity assumptions, the existence and uniqueness results for measurable solutions are established by means of homotopy method. A probabilistic interpretation for solutions to a class of stochastic partial differential equations combined with algebra equations is given. A significant feature of this result is that the forward component of the FBDSDEs is coupled with the backward variable.
引用
收藏
页码：319 / 336
页数：17
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