Infinite horizon forward-backward stochastic differential equations

Shige Peng and Yufeng Shi

Stochastic Processes and their Applications, 2000, vol. 85, issue 1, 75-92

Abstract: A class of systems of infinite horizon forward-backward stochastic differential equations is investigated. Under some monotonicity assumptions, the existence and uniqueness results are established by means of a homotopy method. The global exponential asymptotical stability is also obtained. A comparison theorem is given.

Keywords: Infinite; horizon; Forward-backward; stochastic; differential; equations; Homotopy; Global; exponential; asymptotical; stability; Lyapunov; function (search for similar items in EconPapers)
Date: 2000
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Citations: View citations in EconPapers (9)

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