Solvability of one kind of forward-backward stochastic difference equations

Shaolin Ji and Haodong Liu

Communications in Statistics - Theory and Methods, 2024, vol. 53, issue 16, 5853-5870

Abstract: In this article, we consider the solvability problems for the fully coupled forward-backward stochastic difference equations (FBSΔEs). On one hand, we provide the necessary and sufficient condition for the solvability of the linear FBSΔEs. On the other hand, under the assumption that the coefficients satisfy the monotonicity condition, we investigate the existence and uniqueness theorems for the general non linear FBSΔEs.

Date: 2024
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DOI: 10.1080/03610926.2023.2235444

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