标题:Forward-backward stochastic differential equations on infinite horizon and quasilinear elliptic PDEs
作者:Shi, Yufeng; Zhao, Huaizhong
作者机构:[Shi, Yufeng] Shandong Univ, Inst Financial Studies, Jinan 250100, Peoples R China.; [Shi, Yufeng] Shandong Univ, Sch Math, Jinan 250100, Peoples R 更多
通讯作者:Shi, YF;Shi, YF
通讯作者地址:[Shi, YF]Shandong Univ, Inst Financial Studies, Jinan 250100, Peoples R China;[Shi, YF]Shandong Univ, Sch Math, Jinan 250100, Peoples R China.
来源:JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS
出版年:2020
卷:485
期:10
DOI:10.1016/j.jmaa.2019.123791
关键词:Forward-backward stochastic differential equations; Elliptic PDEs;; Probabilistic interpretations; Feynman-Kac formula; Poisson equations
摘要:A class of infinite horizon forward-backward stochastic differential equations (FBSDEs) is investigated. Under some monotonicity conditions, the existence and uniqueness of solutions in an arbitrarily large space for FBSDEs on infinite horizon is obtained. The probabilistic interpretations for a large class of quasilinear elliptic partial differential equations (PDEs) in a global space is then given by virtue of the solutions of FBSDEs on infinite horizon. (C) 2019 Elsevier Inc. All rights reserved.
收录类别:SCOPUS;SCIE
资源类型:期刊论文
原文链接:https://www.scopus.com/inward/record.uri?eid=2-s2.0-85077070291&doi=10.1016%2fj.jmaa.2019.123791&partnerID=40&md5=7aac48e622c5e309a902017bf676e440
TOP