WANG Guilan. Solution of Forward-Backward SDE with Random Terminal Time[J]. Chinese Journal of Applied Probability and Statistics, 2001, 17(2): 185-188.
Citation:
WANG Guilan. Solution of Forward-Backward SDE with Random Terminal Time[J]. Chinese Journal of Applied Probability and Statistics, 2001, 17(2): 185-188.
WANG Guilan. Solution of Forward-Backward SDE with Random Terminal Time[J]. Chinese Journal of Applied Probability and Statistics, 2001, 17(2): 185-188.
Citation:
WANG Guilan. Solution of Forward-Backward SDE with Random Terminal Time[J]. Chinese Journal of Applied Probability and Statistics, 2001, 17(2): 185-188.
Solution of Forward-Backward SDE with Random Terminal Time
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.