✦ LIBER ✦

The equivalence between uniqueness and continuous dependence of solutions for FBSDEs with continuous monotone coefficients

✍ Scribed by Feng Zhang

Publisher: Elsevier Science
Year: 2010
Tongue: English
Weight: 498 KB
Volume: 233
Category: Article
ISSN: 0377-0427
DOI: 10.1016/j.cam.2009.09.032

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✦ Synopsis

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 its continuous dependence on x and ξ , where x is the initial value of the forward component and ξ is the terminal value of the backward component.

📜 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