Infinite horizon forward–backward stochastic differential equations
Infinite horizon forward–backward stochastic differential equations
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DOI：
10.1016/s0304-4149(99)00066-6
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发表时间：
2000
影响因子：
1.4
通讯作者：
S. Peng;Yufeng Shi
中科院分区：
文献类型：
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作者：
S. Peng;Yufeng Shi
研究了一类无限视界正反向随机微分方程系统。在某些单调性假设下，利用同伦方法建立了存在唯一性结果。得到了全局指数渐近稳定性。给出了一个比较定理。
A class of systems of infinite horizon forward–backward stochastic differential equations is investigated. Under some monotonicity assumptions, the existence and uniqueness results are established by means of a homotopy method. The global exponential asymptotical stability is also obtained. A comparison theorem is given.