FULLY COUPLED FORWARD-BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS WITH GENERAL MARTINGALE  

作　　者：李娟 

机构地区：[1]School of Mathematical Sciences Fudan University,Shanghai 200433,China Department of Mathematics,Shandong University at Weihai,Weihai 264200,China

出　　处：《Acta Mathematica Scientia》2006年第3期443-450,共8页数学物理学报（B辑英文版）

基　　金：Supported by NNSFC (10426022)

摘　　要：The article first studies the fully coupled Forward-Backward Stochastic Differential Equations （FBSDEs） with the continuous local martingale. The article is mainly divided into two parts. In the first part, it considers Backward Stochastic Differential Equations （BSDEs） with the continuous local martingale. Then, on the basis of it, in the second part it considers the fully coupled FBSDEs with the continuous local martingale. It is proved that their solutions exist and are unique under the monotonicity conditions.The article first studies the fully coupled Forward-Backward Stochastic Differential Equations （FBSDEs） with the continuous local martingale. The article is mainly divided into two parts. In the first part, it considers Backward Stochastic Differential Equations （BSDEs） with the continuous local martingale. Then, on the basis of it, in the second part it considers the fully coupled FBSDEs with the continuous local martingale. It is proved that their solutions exist and are unique under the monotonicity conditions.

关 键 词：Backward stochastic differential equations local martingale predictable representation property of martingale 

分 类 号：O175[理学—数学]