A type of time-symmetric forward–backward stochastic differential equations
✍ Scribed by Shige Peng; Yufeng Shi
- Publisher
- Elsevier Science
- Year
- 2003
- Tongue
- English
- Weight
- 112 KB
- Volume
- 336
- Category
- Article
- ISSN
- 1631-073X
No coin nor oath required. For personal study only.
📜 SIMILAR VOLUMES
This paper investigates a class of multi-dimensional stochastic differential equations with one reflecting lower barrier (RBSDEs in short), where the random obstacle is described as an Itô diffusion type of stochastic differential equation. The existence and uniqueness results for adapted solutions
## SUMMARY In this paper, we consider the problem of existence of certain global solutions for general discrete‐time backward nonlinear equations, defined on infinite dimensional ordered Banach spaces. This class of nonlinear equations includes as special cases many of the discrete‐time Riccati equ