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Solvability of one kind of forward-backward stochastic difference equations

Authors :
Ji, Shaolin
Liu, Haodong
Publication Year :
2019

Abstract

In this paper, we study the solvability problem for one kind of fully coupled forward-backward stochastic difference equations (FBS{\Delta}Es). With the help of the necessary and sufficient condition for the solvability of the linear FBS{\Delta}Es, under the monotone assumption, we obtain the existence and uniqueness theorem for the general nonlinear ones.<br />Comment: 19 pages. arXiv admin note: text overlap with arXiv:1812.11283

Subjects

Subjects :
Mathematics - Probability

Details

Database :
arXiv
Publication Type :
Report
Accession number :
edsarx.1901.02143
Document Type :
Working Paper