[Un type d'équations différentielles stochastiques progressives–rétrogrades symétriques par rapport au temps]
Nous étudions dans cette Note un type d'équations différentielles stochastiques progressives–rétrogrades symétriques par rapport au temps. Sous certaines conditions de monotonie, nous donnons un théorème d'existence et unicité des solutions des équations par une méthode de continuation. Ensuite nous présentons une application.
In this Note, we study a type of time-symmetric forward–backward stochastic differential equations. Under some monotonicity assumptions, we establish the existence and uniqueness theorem by means of a method of continuation. We also give an application.
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@article{CRMATH_2003__336_9_773_0,
author = {Peng, Shige and Shi, Yufeng},
title = {A type of time-symmetric forward{\textendash}backward stochastic differential equations},
journal = {Comptes Rendus. Math\'ematique},
pages = {773--778},
publisher = {Elsevier},
volume = {336},
number = {9},
year = {2003},
doi = {10.1016/S1631-073X(03)00183-3},
language = {en},
url = {http://archive.numdam.org/articles/10.1016/S1631-073X(03)00183-3/}
}
TY - JOUR AU - Peng, Shige AU - Shi, Yufeng TI - A type of time-symmetric forward–backward stochastic differential equations JO - Comptes Rendus. Mathématique PY - 2003 SP - 773 EP - 778 VL - 336 IS - 9 PB - Elsevier UR - http://archive.numdam.org/articles/10.1016/S1631-073X(03)00183-3/ DO - 10.1016/S1631-073X(03)00183-3 LA - en ID - CRMATH_2003__336_9_773_0 ER -
%0 Journal Article %A Peng, Shige %A Shi, Yufeng %T A type of time-symmetric forward–backward stochastic differential equations %J Comptes Rendus. Mathématique %D 2003 %P 773-778 %V 336 %N 9 %I Elsevier %U http://archive.numdam.org/articles/10.1016/S1631-073X(03)00183-3/ %R 10.1016/S1631-073X(03)00183-3 %G en %F CRMATH_2003__336_9_773_0
Peng, Shige; Shi, Yufeng. A type of time-symmetric forward–backward stochastic differential equations. Comptes Rendus. Mathématique, Tome 336 (2003) no. 9, pp. 773-778. doi : 10.1016/S1631-073X(03)00183-3. http://archive.numdam.org/articles/10.1016/S1631-073X(03)00183-3/
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