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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
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Abstract |
References |
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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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Additional Information:
Jiongmin
Yong
Affiliation:
Department of Mathematics, University of Central Florida, Orlando, Florida 32816
Email:
jyong@mail.ucf.edu
DOI:
10.1090/S0002-9947-09-04896-X
PII:
S 0002-9947(09)04896-X
Keywords:
Forward-backward stochastic differential equations,
mixed initial-terminal conditions,
Lyapunov operator,
method of continuation
Received by editor(s):
December 28, 2007
Received by editor(s) in revised form:
August 1, 2008
Posted:
September 9, 2009
Additional Notes:
This work was supported in part by the NSF grant DMS-0604309.
Copyright of article:
Copyright
2009,
American Mathematical Society
The copyright for this article reverts to public domain after 28 years from publication.
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