Infinite horizon forward-backward stochastic differential equations

Authors
Peng, SG Shi, YF
Citation
Sg. Peng et Yf. Shi, Infinite horizon forward-backward stochastic differential equations, STOCH PR AP, 85(1), 2000, pp. 75-92
Citations number
23
Categorie Soggetti
Mathematics
Journal title
STOCHASTIC PROCESSES AND THEIR APPLICATIONS
ISSN journal
03044149 → ACNP
Volume
85
Issue
1
Year of publication
2000
Pages
75 - 92
Database
ISI
SICI code
0304-4149(200001)85:1<75:IHFSDE>2.0.ZU;2-W
Abstract
A class of systems of infinite horizon forward-backward stochastic differen tial equations is investigated. Under some monotonicity assumptions, the ex istence and uniqueness results are established by means of a homotopy metho d. The global exponential asymptotical stability is also obtained. A compar ison theorem is given. (C) 2000 Elsevier Science B.V. All rights reserved.