On the solvability of infinite horizon forward-backward stochastic differential equations with absorption coefficients

被引：1

作者：

Guo, Dongmei

Ji, Shaolin ^{[1
]}

Zhao, Huaizhong

机构：

[1] Shandong Univ, Sch Math & Syst Sci, Jinan 250100, Shandong, Peoples R China

[2] Loughborough Univ Technol, Dept Math Sci, Loughborough LE11 3TU, Leics, England

来源：

STATISTICS & PROBABILITY LETTERS | 2006年 / 76卷 / 18期

基金：

中国国家自然科学基金; 英国工程与自然科学研究理事会;

关键词：

infinite horizon; forward-backward stochastic differential equations; absorption condition;

D O I：

10.1016/j.spl.2006.05.001

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：

Solvability of infinite horizon forward-backward stochastic differential equations with absorption coefficients is considered by successive approximation method. The uniqueness and existence of an adapted solution is established for the equations. (c) 2006 Elsevier B.V. All rights reserved.

引用

页码：1954 / 1960

页数：7

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