On the solvability of infinite horizon forward-backward stochastic differential equations with absorption coefficients

DOI10.1016/j.spl.2006.05.001zbMath1107.60032OpenAlexW2060369419MaRDI QIDQ866594

Dongmei Guo, Shaolin Ji, Huaizhong Zhao

Publication date: 14 February 2007

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2006.05.001

zbMATH Keywords

absorption condition

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items (1)

Stochastic Saddle Paths and Economic Theory

Cites Work

• Unnamed Item
• Forward-backward stochastic differential equations and their applications
• Solving forward-backward stochastic differential equations explicitly -- a four step scheme
• Infinite horizon forward-backward stochastic differential equations
• Solution of forward-backward stochastic differential equations
• Functional Integration and Partial Differential Equations. (AM-109)
• Probabilistic interpretation for systems of quasilinear parabolic partial differential equations

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