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Probability Theory and Related Fields

, Volume 103, Issue 2, pp 273–283 | Cite as

Solution of forward-backward stochastic differential equations

  • Y. Hu
  • S. Peng
Article

Summary

In this paper, we study the existence and uniqueness of the solution to forward-backward stochastic differential equations without the nondegeneracy condition for the forward equation. Under a certain “monotonicity” condition, we prove the existence and uniqueness of the solution to forward-backward stochastic differential equations.

Mathematics Subject Classification

60H10 60H20 

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Copyright information

© Springer-Verlag 1995

Authors and Affiliations

  • Y. Hu
    • 1
  • S. Peng
    • 2
  1. 1.Laboratoire de Mathématiques AppliquéesUniversité Blaise Pascal-Clermont-Ferrand IAubière CédexFrance
  2. 2.Mathematics DepartmentShandong UniversityShandongChina

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