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On the solvability of forward-backward stochastic differential equations with absorption coefficients
preprint
posted on 2007-02-28, 12:11 authored by S. Ji, Huaizhong ZhaoThe 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.
History
School
- Science
Department
- Mathematical Sciences
Pages
173394 bytesPublication date
2007Notes
This is a pre-print.Language
- en