Title of article
Infinite horizon forward–backward stochastic differential equations
Author/Authors
Peng، نويسنده , , Shige and Shi، نويسنده , , Yufeng، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2000
Pages
18
From page
75
To page
92
Abstract
A class of systems of infinite horizon forward–backward stochastic differential equations is investigated. Under some monotonicity assumptions, the existence and uniqueness results are established by means of a homotopy method. The global exponential asymptotical stability is also obtained. A comparison theorem is given.
Keywords
Forward–backward stochastic differential equations , homotopy , Global exponential asymptotical stability , lyapunov function , Infinite horizon
Journal title
Stochastic Processes and their Applications
Serial Year
2000
Journal title
Stochastic Processes and their Applications
Record number
1576583
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