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Forward-backward stochastic differential equations on infinite horizon and quasilinear elliptic PDEs
journal contributionposted on 16.01.2020 by Yufeng Shi, Huaizhong Zhao
Any type of content formally published in an academic journal, usually following a peer-review process.
© 2019 Elsevier Inc. A class of infinite horizon forward-backward stochastic differential equations (FBSDEs) is investigated. Under some monotonicity conditions, the existence and uniqueness of solutions in an arbitrarily large space for FBSDEs on infinite horizon is obtained. The probabilistic interpretations for a large class of quasilinear elliptic partial differential equations (PDEs) in a global space is then given by virtue of the solutions of FBSDEs on infinite horizon.
National Key R&D Program of China (Grant No. 2018YFA0703900)
National Natural Science Foundation of China (Grant Nos. 11871309 and 11371226)
Royal Society Newton Advanced Fellowship NA150344
- Mathematical Sciences