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Forward-backward doubly stochastic differential equations under local Lipschitz condition

ZHU Qing-feng1,SHI Yu-feng2   

  1. 1. School of Statistics & Mathematics, Shandong University of Finance, Jinan 250014, Shandong, China;2. School of Mathematics & System Sciences, Shandong University, Jinan 250100, Shandong, China
  • Received:1900-01-01 Revised:1900-01-01 Online:2006-10-24 Published:2006-10-24
  • Contact: ZHU Qing-feng

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Abstract: The existence and uniqueness for the solution of forward-backward doubly stochastic differential equations were obtained under local Lipschitz condition, where the time duration could be arbitrarily given.

Key words: adapted solution , forward-backward doubly stochastic differential equations, tochastic analysis

CLC Number: 

  • O211-63
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