Approximate solvability of forward-backward stochastic differential equations

被引：8

作者：

Ma, J ^{[1
]}

Yong, J

机构：

[1] Purdue Univ, Dept Math, W Lafayette, IN 47907 USA

[2] Fudan Univ, Dept Math, Lab Math Nonlinear Sci, Shanghai 200433, Peoples R China

[3] Fudan Univ, Inst Math Finance, Shanghai 200433, Peoples R China

来源：

APPLIED MATHEMATICS AND OPTIMIZATION | 2002年 / 45卷 / 01期

关键词：

forward-backward stochastic differential equation; approximate solvability; approximate adapted solution; nodal set;

D O I：

10.1007/s00245-001-0025-7

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

The solvability of forward-backward stochastic differential equations (FBSDEs for short) has been studied extensively in recent years. To guarantee the existence and uniqueness of adapted solutions, many different conditions, some quite restrictive, have been imposed. In this paper we propose a new notion: the approximate solvability of FBSDEs, based on the method of optimal control introduced in our primary work [15]. The approximate solvability of a class of FBSDEs is shown under mild conditions; and a general scheme for constructing approximate adapted solutions is proposed.

引用

页码：1 / 22

页数：22

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