Solutions to general forward-backward doubly stochastic differential equations

被引：11

作者：

Zhu, Qing-feng ^{[2
]}

Shi, Yu-feng ^{[1
]}

gong, Xian-jun ^{[1
]}

机构：

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

[2] Shandong Univ Finance, Sch Math & Stat, Jinan 250014, Peoples R China

来源：

APPLIED MATHEMATICS AND MECHANICS-ENGLISH EDITION | 2009年 / 30卷 / 04期

基金：

中国国家自然科学基金;

关键词：

forward-backward doubly stochastic differential equations; method of continuation; H-monotone; SYSTEMS;

D O I：

10.1007/s10483-009-0412-x

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

A general type of forward-backward doubly stochastic differential equations (FBDSDEs) is studied. It extends many important equations that have been well studied, including stochastic Hamiltonian systems. Under some much weaker monotonicity assumptions, the existence and uniqueness of measurable solutions are established with a method of continuation. Furthermore, the continuity and differentiability of the solutions to FBDSDEs depending on parameters is discussed.

引用

页码：517 / 526

页数：10

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