Forward-backward stochastic differential equations with stopping time (Q1431129)
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English | Forward-backward stochastic differential equations with stopping time |
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Forward-backward stochastic differential equations with stopping time (English)
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27 May 2004
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The author studies fully coupled forward-backward stochastic differential equations (FBSDE) with an unbounded, possibly infinite stopping time, where the value of the solution of the FBSDE is not required to be zero when the stopping time takes the value infinity. He proves the existence and the uniqueness of the solution under some type of Lipschitz and monotonicity assumptions. Finally, the second part of the paper is devoted to a comparison theorem for FBSDEs with a stopping time as time horizon. The author's results extend previous ones by \textit{Y. Hu} and \textit{S. Peng} [Probab. Theory Relat. Fields 103, No. 2, 273--283 (1995; Zbl 0831.60065)], \textit{S. Peng} and \textit{Z. Wu} [SIAM J. Control Optimization 37, No. 3, 825--843 (1999; Zbl 0931.60048)] on FBSDEs with finite time horizon, and \textit{S. Peng} and \textit{Y. Shi} [Stochastic Processes Appl. 85, No. 1, 75--92 (2000; Zbl 0997.60062)] on FBSDEs with infinite time horizon; all these works used some Lipschitz type and monotonicity assumptions on the coefficients. One should still mention that a quite different approach based on PDE methods has been exploited by \textit{J. Ma, P. Protter} and \textit{J. Yong} [Probab. Theory Relat. Fields 98, No. 3, 339--359 (1994; Zbl 0794.60056)].
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forward-backward stochastic differential equation
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stopping time
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comparison theorem
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