On solutions of a class of infinite horizon FBSDEs

Juliang Yin

Statistics & Probability Letters, 2008, vol. 78, issue 15, 2412-2419

Abstract: In this paper, we study the solvability of a class of infinite horizon forward-backward stochastic differential equations (FBSDEs, for short). Under some mild assumptions on the coefficients in such FBSDEs, the existence and uniqueness result of adapted solutions is established. The method adopted here is based on constructing a contraction mapping related to the solution of the forward SDE in the FBSDEs.

Date: 2008
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