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

    Authors

    J. M. Yong

    Comments

    Authors: contact us about adding a copy of your work at [email protected]

    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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