| FULLY COUPLED FORWARD-BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS WITH GENERAL MARTINGALE |
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| 作者姓名： | 李娟 |
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| 作者单位： | School of |
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| 基金项目： | Supported by NNSFC (10426022) |
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| 摘 要： | The article first studies the fully coupled Forward-Backward Stochastic Differential Equations (FBSDEs) with the continuous local martingale. The article is mainly divided into two parts. In the first part, it considers Backward Stochastic Differential Equations (BSDEs) with the continuous local martingale. Then, on the basis of it, in the second part it considers the fully coupled FBSDEs with the continuous local martingale. It is proved that their solutions exist and are unique under the monotonicity conditions.
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| 关 键 词： | 反随机微分方程 局部鞅 可预见表征性 BSDEs |
| 收稿时间： | 2004-04-15 |
| 修稿时间： | 2005-03-23 |
FULLY COUPLED FORWARD-BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS WITH GENERAL MARTINGALE |
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| Li Juan.FULLY COUPLED FORWARD-BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS WITH GENERAL MARTINGALE[J].Acta Mathematica Scientia,2006,26(3):443-450. |
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| Authors: | Li Juan |
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| Abstract: | The article first studies the fully coupled Forward-Backward Stochastic Differential Equations (FBSDEs) with the continuous local martingale. The article is mainly divided into two parts. In the first part, it considers Backward Stochastic Differential Equations (BSDEs) with the continuous local martingale. Then, on the basis of it, in the second part it considers the fully coupled FBSDEs with the continuous local martingale. It is proved that their solutions exist and are unique under the monotonicity conditions. |
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| Keywords: | Backward stochastic differential equations local martingale predictable representation property of martingale |
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