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

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.

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Year of publication:	2006
Authors:	Guo, Dongmei ; Ji, Shaolin ; Zhao, Huaizhong
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 76.2006, 18, p. 1954-1960
Publisher:	Elsevier
Keywords:	Infinite horizon Forward-backward stochastic differential equations Absorption condition

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005313914