| FORWARD-BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS WITH STOPPING TIME |
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| 引用本文： | 吴臻. FORWARD-BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS WITH STOPPING TIME[J]. 数学物理学报(B辑英文版), 2004, 24(1): 91-99 |
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| 作者姓名： | 吴臻 |
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| 作者单位： | SchoolofMathematicsandSystemSciences,ShandongUniversity,Jinan250100,China |
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| 基金项目： | 国家自然科学基金，the Excellent Young Teachers Program and the Doctoral program Foundation of MOE and Shandong Province |
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| 摘 要： | The existence and uniqueness results of fully coupled forward-backward stochastic differential equations with stopping time (unbounded) is obtained. One kind of comparison theorem for this kind of equations is also proved.
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| 关 键 词： | 随机微分方程 停止时间 比较定理 拟线性偏微分方程 唯一性 |
FORWARD-BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS WITH STOPPING TIME |
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| Wu Zhen School of Mathematics and System Sciences,Shandong University,Jinan ,China. FORWARD-BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS WITH STOPPING TIME[J]. Acta Mathematica Scientia, 2004, 24(1): 91-99 |
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| Authors: | Wu Zhen School of Mathematics System Sciences Shandong University Jinan China |
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| Affiliation: | Wu Zhen School of Mathematics and System Sciences,Shandong University,Jinan 250100,China |
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| Abstract: | The existence and uniqueness results of fully coupled forward-backward stochastic differential equations with stopping time (unbounded) is obtained. One kind of comparison theorem for this kind of equations is also proved. |
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| Keywords: | Forward-backward stochastic differential equations stopping time comparison theorem |
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