Forward-backward stochastic differential equations with mixed initial-terminal conditions
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- by Jiongmin Yong
- Trans. Amer. Math. Soc. 362 (2010), 1047-1096
- DOI: https://doi.org/10.1090/S0002-9947-09-04896-X
- Published electronically: September 9, 2009
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Abstract:
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.References
Bibliographic Information
- Jiongmin Yong
- Affiliation: Department of Mathematics, University of Central Florida, Orlando, Florida 32816
- MR Author ID: 232631
- Email: jyong@mail.ucf.edu
- Received by editor(s): December 28, 2007
- Received by editor(s) in revised form: August 1, 2008
- Published electronically: September 9, 2009
- Additional Notes: This work was supported in part by the NSF grant DMS-0604309.
- © Copyright 2009
American Mathematical Society
The copyright for this article reverts to public domain 28 years after publication. - Journal: Trans. Amer. Math. Soc. 362 (2010), 1047-1096
- MSC (2000): Primary 60H10
- DOI: https://doi.org/10.1090/S0002-9947-09-04896-X
- MathSciNet review: 2551515