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Solution of forward-backward stochastic differential equations
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  • Published: June 1995

Solution of forward-backward stochastic differential equations

  • Y. Hu1 &
  • S. Peng2 

Probability Theory and Related Fields volume 103, pages 273–283 (1995)Cite this article

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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.

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Author information

Authors and Affiliations

  1. Laboratoire de Mathématiques Appliquées, Université Blaise Pascal-Clermont-Ferrand I, F-63177, Aubière Cédex, France

    Y. Hu

  2. Mathematics Department, Shandong University, 250100Jinan, Shandong, China

    S. Peng

Authors
  1. Y. Hu
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  2. S. Peng
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Hu, Y., Peng, S. Solution of forward-backward stochastic differential equations. Probab. Th. Rel. Fields 103, 273–283 (1995). https://doi.org/10.1007/BF01204218

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  • Received: 04 November 1994

  • Accepted: 15 February 1995

  • Issue Date: June 1995

  • DOI: https://doi.org/10.1007/BF01204218

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Mathematics Subject Classification

  • 60H10
  • 60H20
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