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On the existence of solution to one–dimensional forward–backward sdes

 

作者: Ying Hu,  

 

期刊: Stochastic Analysis and Applications  (Taylor Available online 2000)
卷期: Volume 18, issue 1  

页码: 101-111

 

ISSN:0736-2994

 

年代: 2000

 

DOI:10.1080/07362990008809657

 

出版商: Marcel Dekker, Inc.

 

数据来源: Taylor

 

摘要:

In this paper, we study the existence of the solution to one-dimensional forward–backward stochastic differential equations with neither the smooth condition nor the monotonicity condition for the coefficients. Under the nondegeneracy condition for the forward equation, we prove the existence of the solution to one-dimensional forward–backward stochastic differential equations. And we apply this result to establish the existence of the viscosity solution to a certain one-dimensional quasilinear parabolic partial differential equation

 

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