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Peng, Shige; Shi, Yufeng

A type of time-symmetric forward-backward stochastic differential equations. (English. Abridged French version) Zbl 1031.60055

C. R., Math., Acad. Sci. Paris 336, No. 9, 773-778 (2003).
Summary: We study a type of time-symmetric forward-backward stochastic differential equations. Under some monotonicity assumptions, we establish the existence and uniqueness theorem by means of a method of continuation. We also give an application.

Cited in 1 Review
Cited in 38 Documents

MSC:

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

Keywords:

forward-backward stochastic differential equations; method of continuation
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References:

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