On the Solvability of Forward-backward Stochastic Differential Equations with Absorption Coefficients∗
نویسندگان
چکیده
The solvability of forward-backward stochastic differential equations with absorption coefficients is studied by the successive approximation method. The existence and uniqueness of an adapted solution are established for the equations which allow the diffusion in the forward stochastic differential equations to be degenerate. The authors also study their connection with partial differential equations.
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تاریخ انتشار 2006