Title
FORWARD-BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS WITH MIXED INITIAL-TERMINAL CONDITIONS
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
ISSN
0002-9947
Recommended Citation
"FORWARD-BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS WITH MIXED INITIAL-TERMINAL CONDITIONS" (2010). Faculty Bibliography 2010s. 991.
https://stars.library.ucf.edu/facultybib2010/991
Comments
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