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Title: On the solvability of forward-backward stochastic differential equations with absorption coefficients
Authors: Ji, S.
Zhao, Huaizhong
Keywords: Forward-backward stochastic differential equations
Absorption condition
Viscosity solutions
Issue Date: 2007
Abstract: The solvability of forward-backward stochastic differential equations with absorption coefficients is studied by the successive approximation method. The existence and uniqueness of an adapted solution are established for the equations which allow the diffusion in the forward stochastic differential equations to be degenerate. The authors also study their connection with partial differential equations.
Description: This is a pre-print.
URI: https://dspace.lboro.ac.uk/2134/2715
Appears in Collections:Pre-prints (Maths)

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