Solutions of General Forward-Backward Doubly Stochastic Differential Equations

ZHU Qing-feng; SHI Yu-feng; GONG Xian-jun

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Article Navigation > Applied Mathematics and Mechanics > 2009 > 30(4): 484-494

ZHU Qing-feng, SHI Yu-feng, GONG Xian-jun. Solutions of General Forward-Backward Doubly Stochastic Differential Equations[J]. Applied Mathematics and Mechanics, 2009, 30(4): 484-494.

Citation:

ZHU Qing-feng, SHI Yu-feng, GONG Xian-jun. Solutions of General Forward-Backward Doubly Stochastic Differential Equations[J]. Applied Mathematics and Mechanics, 2009, 30(4): 484-494.

Citation:

ZHU Qing-feng, SHI Yu-feng, GONG Xian-jun. Solutions of General Forward-Backward Doubly Stochastic Differential Equations[J]. Applied Mathematics and Mechanics, 2009, 30(4): 484-494.

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Solutions of General Forward-Backward Doubly Stochastic Differential Equations

1.
School of Statistics and Mathematics, Shandong University of Finance, Jinan 250014, P. R. China;

Received Date: 2008-03-13
Rev Recd Date: 2009-02-27
Publish Date: 2009-04-15

Abstract

Abstract

A general type of forward-backward doubly stochastic differential equations(FBDSDEs in short) was studied,which extends many important equations well studied before,including stochastic Hamiltonian systems.Under some much weaker monotonicity assumptions,the existence and uniqueness results for measurable solutions were established by means of a method of continuation.Furthermore the continuity and differentiability of the solutions of FBDSDEs depending on parameters were discussed.
- forward-backward doubly stochastic differential equations,
- method of continuation,
- HM-monotone

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References(15)

References

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