Solvability of forward-backward stochastic difference equations with finite states

DOI10.1080/17442508.2021.2015353MaRDI QIDQ5041052zbMATH OpenOpenAlexFDO

Authors Shaolin Ji, Haodong Liu

Publication date 18 October 2022

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1907.03231

zbMATH Keywords

continuation methodforward-backward stochastic difference equationsmartingale representation theorem

Mathematics Subject Classification ID

Stochastic difference equations (39A50) Martingales with discrete parameter (60G42)

Abstract: In this paper, we consider the solvability problems for the fully coupled forward-backward stochastic difference equations (FBS{Delta}Es) on spaces related to discrete time, finite state processes. On one hand, we provide the necessary and sufficient condition for the solvability of the linear FBS{Delta}Es. On the other hand, under the assumption that the coefficients satisfy the monotone condition, we investigate the existence and uniqueness theorems for the general nonlinear FBS{Delta}Es.

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Cited in

(1)

• Solvability of general fully coupled forward–backward stochastic difference equations with delay and applications

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