Linear forward-backward stochastic differential equations with random coefficients

DOI10.1007/s00440-005-0452-5zbMath1120.60058OpenAlexW2037048342MaRDI QIDQ818818

Jiong-min Yong

Publication date: 21 March 2006

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00440-005-0452-5

zbMATH Keywords

Riccati backward stochastic equationsolvability of forward-backward problems

Mathematics Subject Classification ID

Stochastic systems and control (93E99) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Linear systems in control theory (93C05)

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