On the solution of forward-backward SDEs with monotone and continuous coefficients (Q1576547)
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scientific article; zbMATH DE number 1491634
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| English | On the solution of forward-backward SDEs with monotone and continuous coefficients |
scientific article; zbMATH DE number 1491634 |
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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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0.8923434615135193
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0.8831388354301453
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0.8801992535591125
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