Solvability of one kind of forward-backward stochastic difference equations

2019/01/08 by Shaolin Ji, Haodong Liu, Ji, Shaolin +1 · 1 citation
Economics, Econometrics and Finance · Mathematics · Medicine · #FOS: Mathematics #Mathematical and Theoretical Epidemiology and Ecology Models #Nonlinear Differential Equations Analysis #Probability (math.PR) #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.1901.02143

openalex publication_date 2019/01/08 · openalex created_date 2025/10/10 · openalex updated_date 2026/08/01

Abstract

In this paper, we study the solvability problem for one kind of fully coupled forward-backward stochastic difference equations (FBSΔEs). With the help of the necessary and sufficient condition for the solvability of the linear FBSΔEs, under the monotone assumption, we obtain the existence and uniqueness theorem for the general nonlinear ones.

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• Fully Coupled Nonlinear FBSΔEs: Maximum principle and LQ Control Insights

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