Existence of Solutions of Multivalued FBSDE with Continuous Monotone Coefficients

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Existence of Solutions of Multivalued FBSDE with Continuous Monotone Coefficients

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- Existence of Solutions of Multivalued FBSDE with Continuous Monotone Coefficients
- Acta Scientiarum Naturalium Universitatis SunYatseni Vol. 50, Issue 4, Pages: 7-10(2011)
- 作者机构：
  
  中山大学数学与计算科学学院,广东,广州,510275
- 作者简介：
- 基金信息：
- DOI：
  CLC：
- Published：2011，
  
  Published Online：25 July 2011，
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Existence of Solutions of Multivalued FBSDE with Continuous Monotone Coefficients. [J]. Acta Scientiarum Naturalium Universitatis SunYatseni 50(4):7-10(2011)
DOI：

Existence of Solutions of Multivalued FBSDE with Continuous Monotone Coefficients. [J]. Acta Scientiarum Naturalium Universitatis SunYatseni 50(4):7-10(2011) DOI：

摘要

研究了一类线性增长单调连续系数的多值正倒向随机微分方程解的存在性，其中方程的终端时间T为任意有限常数、系数为随机的。应用连续线性增长函数可以用Lipschitz函数逼近、极大单调算子的Yosida估计和随机微分方程的比较定理，得到了方程存在一个适应解。

Abstract

The existence of solutions of ForwardBackward Stochastic Differential Equations (FBSDE for short) under linear growth and continuous monotone coefficients is studied

the terminal time T is finite constant and the coefficients are random. By means of approximation of linear continuous function by Lipschitz functions，Yosida approximation of maximal monotone operator and comparison results of Stochastic Differential Equations

the existence of solutions of FBSDE is obtained.

关键词

It积分多值正倒向随机微分方程连续单调

Keywords

It integralmultivalued FBSDEcontinuous monotone

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