On the solution of forward-backward SDEs with monotone and continuous coefficients (Q1576547): Difference between revisions
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Revision as of 03:58, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the solution of forward-backward SDEs with monotone and continuous coefficients |
scientific article |
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On the solution of forward-backward SDEs with monotone and continuous coefficients (English)
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13 October 2001
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The author proves existence and uniqueness for a class of forward-backward stochastic differential equations with coefficients which are not necessarily Lipschitz continuous but only continuous and which satisfy a linear growth condition and a monotonicity condition. The proof of existence uses the Yosida approximation technique.
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forward-backward SDE
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Yosida approximation
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