Title

Forward-Backward Stochastic Differential Equations With Mixed Initial-Terminal Conditions

Abstract

Well-posedness of forward-backward stochastic differential equations (FBSDEs, for short) in Lp 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. © 2009 American Mathematical Society.

Publication Date

2-1-2010

Publication Title

Transactions of the American Mathematical Society

Volume

362

Issue

2

Number of Pages

1047-1096

Document Type

Article

Personal Identifier

scopus

DOI Link

https://doi.org/10.1090/S0002-9947-09-04896-X

Socpus ID

77950876223 (Scopus)

Source API URL

https://api.elsevier.com/content/abstract/scopus_id/77950876223

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