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Solutions to general forward-backward doubly stochastic differential equations

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    1. School of Statistics and Mathematics, Shandong University of Finance,Jinan 250014,  P. R. China;
    2. School of Mathematics, Shandong University, Jinan 250100,  P. R. China

Received date: 2008-03-13

  Revised date: 2009-02-17

  Online published: 2009-04-16

Abstract

A general type of forward-backward doubly stochastic differential equations (FBDSDEs) is studied. It extends many important equations that have been well studied, including stochastic Hamiltonian systems. Under some much weaker monotonicity assumptions, the existence and uniqueness of measurable solutions are established with a method of continuation. Furthermore, the continuity and differentiability of the solutions to FBDSDEs depending on parameters is discussed.

Cite this article

Qing-Feng ZHU;Yu-Feng SHI;Xian-Jun GONG . Solutions to general forward-backward doubly stochastic differential equations[J]. Applied Mathematics and Mechanics, 2009 , 30(4) : 517 -526 . DOI: 10.1007/s10483-009-0412-x

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