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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 (FBS{\Delta}Es). With the help of the necessary and sufficient condition for the solvability of the linear FBS{\Delta}Es, under the monotone assumption, we obtain the existence and uniqueness theorem for the general nonlinear ones.

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Shaolin Ji, Haodong Liu. 2019-01-08. Solvability of one kind of forward-backward stochastic difference equations. https://arxiv.org/abs/1901.02143

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