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On the existence of solution to one–dimensional forward–backward sdes

✍ Scribed by Hu, Ying

Book ID
126850960
Publisher
Taylor and Francis Group
Year
2000
Tongue
English
Weight
317 KB
Volume
18
Category
Article
ISSN
0736-2994

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📜 SIMILAR VOLUMES

On the solution of forward–backward SDEs
On the solution of forward–backward SDEs with monotone and continuous coefficients
✍ Ying Hu 📂 Article 📅 2000 🏛 Elsevier Science 🌐 English ⚖ 98 KB

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

On Global Existence of Solutions of SDE'
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## Abstract Let __b__ be a Borel measurable IR^d^ ‐ valued function, defined on some Borel subset of IR^d^. Consider the __d‐__ dimensional SDEmagnified imagewith singular drift __b__. A local solution (up to σ) is a tuple (__X, W__, Q,σ) where __X__ is a stochastic process, __W__ is a Brownian mot