On continuous control dependence of solutions of stochastic equations with monotone coefficients
β Scribed by M. A. Karabash
- Publisher
- Springer US
- Year
- 1991
- Tongue
- English
- Weight
- 180 KB
- Volume
- 53
- Category
- Article
- ISSN
- 1573-8795
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π SIMILAR VOLUMES
In this paper we study one kind of coupled forward-backward stochastic differential equation. With some particular choice for the coefficients, if one of them satisfies a uniform growth condition and they are accordingly monotone, then we obtain the equivalence between the uniqueness of solution and
Comparison theorems for solutions of one-dimensional backward stochastic di erential equations were established by Peng and Cao-Yan, where the coe cients were, respectively, required to be Lipschitz and Dini continuous. In this work, we generalize the comparison theorem to the case where the coe cie
in the forward equation (see also [13] for the existence of solution to one-dimensional FBSDEs with bounded Lipschitz coe cients and non-degenerate di usion in the forward equation). In [14], Hu and Peng introduced the monotonicity condition, under which the FBSDEs can be solved, and their main idea