FORWARD-BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS WITH MIXED INITIAL-TERMINAL CONDITIONS

作者：Yong Jiongmin^*

来源：Transactions of the American Mathematical Society, 2010, 362(2): 1047-1096.

• Forward-backward stochastic differential equations
• mixed initial-terminal conditions
• Lyapunov operator
• method of continuation

Well-posedness of forward-backward stochastic differential equations (FBSDEs, for short) in L(P) spaces with mixed initial-terminal conditions is studied. A notion of Lyapunov operator is introduced, whose existence leads to a priori estimates of the adapted solutions sufficient for the well-posedness of the corresponding FBSDEs, via the method of continuation. Various situations are discussed under which Lyapunov operators do exist.

• 出版日期2010-2