Title

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

Authors

Authors

J. M. Yong

Comments

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Abbreviated Journal Title

Trans. Am. Math. Soc.

Keywords

Forward-backward stochastic differential equations; mixed; initial-terminal conditions; Lyapunov operator; method of continuation; UTILITY; EXISTENCE; RISK; SDES; COEFFICIENTS; CONSUMPTION; UNIQUENESS; AMBIGUITY; FBSDES; AXIOMS; Mathematics

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.

Journal Title

Transactions of the American Mathematical Society

Volume

362

Issue/Number

2

Publication Date

1-1-2010

Document Type

Article

Language

English

First Page

1047

Last Page

1096

WOS Identifier

WOS:000274739600019

ISSN

0002-9947

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