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On the solvability of infinite horizon forward-backward stochastic differential equations with absorption coefficients

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  • Guo, Dongmei
  • Ji, Shaolin
  • Zhao, Huaizhong

Abstract

Solvability of infinite horizon forward-backward stochastic differential equations with absorption coefficients is considered by successive approximation method. The uniqueness and existence of an adapted solution is established for the equations.

Suggested Citation

  • Guo, Dongmei & Ji, Shaolin & Zhao, Huaizhong, 2006. "On the solvability of infinite horizon forward-backward stochastic differential equations with absorption coefficients," Statistics & Probability Letters, Elsevier, vol. 76(18), pages 1954-1960, December.
    • Handle: RePEc:eee:stapro:v:76:y:2006:i:18:p:1954-1960
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    References listed on IDEAS

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    1. Peng, Shige & Shi, Yufeng, 2000. "Infinite horizon forward-backward stochastic differential equations," Stochastic Processes and their Applications, Elsevier, vol. 85(1), pages 75-92, January.
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