On the solution of forward-backward SDEs with monotone and continuous coefficients

DOI10.1016/S0362-546X(98)00315-0zbMath0970.34056OpenAlexW2087949484WikidataQ126340774 ScholiaQ126340774MaRDI QIDQ1576547

Ying Hu

Publication date: 13 October 2001

Published in: Nonlinear Analysis. Theory, Methods \& Applications. Series A: Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0362-546x(98)00315-0

zbMATH Keywords

Yosida approximationforward-backward SDE

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Growth and boundedness of solutions to ordinary differential equations (34C11) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06)

Related Items (8)

Solvability of forward-backward stochastic partial differential equations ⋮ Fractional backward SDEs with locally monotone coefficient and application to PDEs ⋮ Heinrich Begehr: Citation for his 70th birthday ⋮ On the existence and uniqueness of solutions to FBSDEs in a non-degenerate case. ⋮ BDSDEs with locally monotone coefficients and Sobolev solutions for SPDEs ⋮ Forward-backward stochastic differential equations with mixed initial-terminal conditions ⋮ Stochastic maximum principle, dynamic programming principle, and their relationship for fully coupled forward-backward stochastic controlled systems ⋮ Necessary and sufficient conditions of optimality for optimal control problem with initial and terminal costs

This page was built for publication: On the solution of forward-backward SDEs with monotone and continuous coefficients