Forward-backward stochastic differential equations with mixed initial-terminal conditions
Forward-backward stochastic differential equations with mixed initial-terminal conditions
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DOI：
10.1090/s0002-9947-09-04896-x
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发表时间：
2009-09
影响因子：
1.3
通讯作者：
J. Yong
中科院分区：
文献类型：
--
作者：
J. Yong
研究了L P空间中具有混合初末条件的正倒向随机微分方程解的适定性。引入了Lyapunov算子的概念，通过连续化的方法得到了适当解的先验估计，从而使得相应的FBSDE是适定的。讨论了Lyapunov算子存在的各种情形。
Well-posedness of forward-backward stochastic differential equations (FBSDEs, for short) in L P spaces with mixed initial-terminal conditions is studied. A notion of Lyapunov operator is introduced, whose existence leads to a priori estimates of the adapted solutions sufficient for the well-posedness of the corresponding FBSDEs, via the method of continuation. Various situations are discussed under which Lyapunov operators do exist.