Solution of forward-backward stochastic differential equations. (English) Zbl 0831.60065

Hu, Ying; Peng, S.

Probab. Theory Relat. Fields 103, No. 2, 273-283 (1995).

Summary: We study the existence and uniqueness of the solution to forward-backward stochastic differential equations without the non-degeneracy condition for the forward equation. Under a certain “monotonicity” condition, we prove the existence and uniqueness of the solution to forward-backward stochastic differential equations.

MSC:

60H10	Stochastic ordinary differential equations (aspects of stochastic analysis)
60H20	Stochastic integral equations

Keywords:

existence and uniqueness; forward-backward stochastic differential equations

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