Solvability of finite state forward-backward stochastic difference equations
Probability
2019-07-09 v1
Abstract
In this paper, we consider the solvability problems for the fully coupled forward-backward stochastic difference equations (FBS{\Delta}Es) on spaces related to discrete time, finite state processes. On one hand, we provide the necessary and sufficient condition for the solvability of the linear FBS{\Delta}Es. On the other hand, under the assumption that the coefficients satisfy the monotone condition, we investigate the existence and uniqueness theorems for the general nonlinear FBS{\Delta}Es.
Keywords
Cite
@article{arxiv.1907.03231,
title = {Solvability of finite state forward-backward stochastic difference equations},
author = {Shaolin Ji and Haodong Liu},
journal= {arXiv preprint arXiv:1907.03231},
year = {2019}
}
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21 Pages