Solvability of one kind of forward-backward stochastic difference equations

Shaolin Ji; Haodong Liu

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arXiv · 1901.02143

Solvability of one kind of forward-backward stochastic difference equations

Shaolin Ji·Haodong Liu

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Abstract

In this paper, we study the solvability problem for one kind of fully coupled forward-backward stochastic difference equations (FBSΔEs). With the help of the necessary and sufficient condition for the solvability of the linear FBSΔEs, under the monotone assumption, we obtain the existence and uniqueness theorem for the general nonlinear ones.

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Shaolin Ji, Haodong Liu. 2019-12-07. Solvability of one kind of forward-backward stochastic difference equations. https://arxiv.org/abs/1901.02143

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