A type of time-symmetric forward–backward stochastic differential equations

Shige Peng; Yufeng Shi

doi:10.1016/S1631-073X(03)00183-3

Probability Theory

A type of time-symmetric forward–backward stochastic differential equations
[Un type d'équations différentielles stochastiques progressives–rétrogrades symétriques par rapport au temps]

Présenté par : Paul Malliavin

Shige Peng ¹ ; Yufeng Shi ¹

¹ School of Mathematics and System Sciences, Shandong University, Jinan 250100, China

Comptes Rendus. Mathématique, Volume 336 (2003) no. 9, pp. 773-778.

Résumé
Abstract

Nous étudions dans cette Note un type d'équations différentielles stochastiques progressives–rétrogrades symétriques par rapport au temps. Sous certaines conditions de monotonie, nous donnons un théorème d'existence et unicité des solutions des équations par une méthode de continuation. Ensuite nous présentons une application.

In this Note, we study a type of time-symmetric forward–backward stochastic differential equations. Under some monotonicity assumptions, we establish the existence and uniqueness theorem by means of a method of continuation. We also give an application.

Reçu le : 2002-06-04
Accepté le : 2003-04-01
Publié le : 2003-04-30

DOI : 10.1016/S1631-073X(03)00183-3

Affiliations des auteurs :

Shige Peng ¹ ; Yufeng Shi ¹

¹ School of Mathematics and System Sciences, Shandong University, Jinan 250100, China

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Shige Peng; Yufeng Shi. A type of time-symmetric forward–backward stochastic differential equations. Comptes Rendus. Mathématique, Volume 336 (2003) no. 9, pp. 773-778. doi : 10.1016/S1631-073X(03)00183-3. https://comptes-rendus.academie-sciences.fr/mathematique/articles/10.1016/S1631-073X(03)00183-3/

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