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ISSN 1088-6850(e) ISSN 0002-9947(p)

Forward-backward stochastic differential equations with mixed initial-terminal conditions

Author(s): Jiongmin Yong
Journal: Trans. Amer. Math. Soc. 362 (2010), 1047-1096.
MSC (2000): Primary 60H10
Posted: September 9, 2009
MathSciNet review: 2551515
Retrieve article in: PDF

Abstract | References | Similar articles | Additional information

Abstract: Well-posedness of forward-backward stochastic differential equations (FBSDEs, for short) in 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.

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