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On solutions of a class of infinite horizon FBSDEs

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  • Yin, Juliang

Abstract

In this paper, we study the solvability of a class of infinite horizon forward-backward stochastic differential equations (FBSDEs, for short). Under some mild assumptions on the coefficients in such FBSDEs, the existence and uniqueness result of adapted solutions is established. The method adopted here is based on constructing a contraction mapping related to the solution of the forward SDE in the FBSDEs.

Suggested Citation

  • Yin, Juliang, 2008. "On solutions of a class of infinite horizon FBSDEs," Statistics & Probability Letters, Elsevier, vol. 78(15), pages 2412-2419, October.
    • Handle: RePEc:eee:stapro:v:78:y:2008:i:15:p:2412-2419
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    References listed on IDEAS

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    1. Hu, Ying & Yong, Jiongmin, 2000. "Forward-backward stochastic differential equations with nonsmooth coefficients," Stochastic Processes and their Applications, Elsevier, vol. 87(1), pages 93-106, May.
    2. 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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    Cited by:

    1. Yin, J. & Ding, D. & Liu, Z. & Khoo, S., 2015. "Some properties of finite-time stable stochastic nonlinear systems," Applied Mathematics and Computation, Elsevier, vol. 259(C), pages 686-697.
    2. Liu, Jingmei & Liang, Xiao & Xu, Juanjuan, 2021. "Solution to the forward and backward stochastic difference equations with asymmetric information and application," Applied Mathematics and Computation, Elsevier, vol. 390(C).
    3. Xanthi-Isidora Kartala & Nikolaos Englezos & Athanasios N. Yannacopoulos, 2020. "Future Expectations Modeling, Random Coefficient Forward–Backward Stochastic Differential Equations, and Stochastic Viscosity Solutions," Mathematics of Operations Research, INFORMS, vol. 45(2), pages 403-433, May.

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