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Infinite horizon forward-backward stochastic differential equations

A class of systems of infinite horizon forward-backward stochastic differential equations is investigated. Under some monotonicity assumptions, the existence and uniqueness results are established by means of a homotopy method. The global exponential asymptotical stability is also obtained. A comparison theorem is given.
Year of publication:
2000
Authors: Peng, Shige ; Shi, Yufeng
Published in:
Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 85.2000, 1, p. 75-92
Publisher: Elsevier
Keywords: Infinite horizon Forward-backward stochastic differential equations Homotopy Global exponential asymptotical stability Lyapunov function
Type of publication: Article
Source:
Persistent link: https://www.econbiz.de/10008875514
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