终端时为停时的正倒向随机微分方程的解

Solution of Forward-Backward SDE with Random Terminal Time

  • 摘要: 在这篇文章中, 我们证明了正倒向随机微分方程的解的存在性和唯一性, 其中, 倒向随机微分方程的终端时为一有限的停时。

     

    Abstract: In this paper, we prove the existence and uniqueness of the solution to forward-backward stochastic differential equations, where the terminal time associated with the backward stochastic differential equation is a finite stopping time.

     

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