Title of article :
Infinite horizon forward–backward stochastic differential equations
Author/Authors :
Peng، نويسنده , , Shige and Shi، نويسنده , , Yufeng، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2000
Abstract :
A class of systems of infinite horizon forward–backward stochastic differential equations is investigated. Under some monotonicity assumptions, the existence and uniqueness results are established by means of a homotopy method. The global exponential asymptotical stability is also obtained. A comparison theorem is given.
Keywords :
Forward–backward stochastic differential equations , homotopy , Global exponential asymptotical stability , lyapunov function , Infinite horizon
Journal title :
Stochastic Processes and their Applications
Journal title :
Stochastic Processes and their Applications
