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Solvability of forward–backward stochastic difference equations with finite states
Stochastics ( IF 0.8 ) Pub Date : 2021-12-22 , DOI: 10.1080/17442508.2021.2015353
Shaolin Ji 1 , Haodong Liu 2
Affiliation  

In this paper, we consider the solvability problems for the fully coupled forward–backward stochastic difference equations (FBSΔEs) 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 FBSΔEs. On the other hand, under the assumption that the coefficients satisfy the monotonicity condition, we investigate the existence and uniqueness theorems for the general nonlinear FBSΔEs.



中文翻译:

具有有限状态的前向后随机差分方程的可解性

在本文中,我们考虑了与离散时间、有限状态过程相关的空间上的完全耦合前向后随机差分方程 (FBSΔEs) 的可解性问题。一方面,我们为线性 FBSΔEs 的可解性提供了充要条件。另一方面,在系数满足单调性条件的假设下,我们研究了一般非线性FBSΔEs的存在性和唯一性定理。

更新日期:2021-12-22
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