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arXiv · 1907.03231

Solvability of finite state forward-backward stochastic difference equations

Shaolin Ji·Haodong Liu
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Abstract

In this paper, we consider the solvability problems for the fully coupled forward-backward stochastic difference equations (FBSΔEs) on spaces related to discrete time, finite state processes. On one hand, we provide the necessary and sufficient condition for the solvability of the linear FBSΔEs. On the other hand, under the assumption that the coefficients satisfy the monotone condition, we investigate the existence and uniqueness theorems for the general nonlinear FBSΔEs.

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Shaolin Ji, Haodong Liu. 2019-07-07. Solvability of finite state forward-backward stochastic difference equations. https://arxiv.org/abs/1907.03231

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