| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1155106 | Statistics & Probability Letters | 2008 | 8 Pages |
Abstract
In this paper, we study the solvability of a class of infinite horizon forward–backward stochastic differential equations (FBSDEs, for short). Under some mild assumptions on the coefficients in such FBSDEs, the existence and uniqueness result of adapted solutions is established. The method adopted here is based on constructing a contraction mapping related to the solution of the forward SDE in the FBSDEs.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Juliang Yin,