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Forward-backward stochastic differential equations on infinite horizon and quasilinear elliptic PDEs
journal contribution
posted on 2020-01-16, 09:46 authored by Yufeng Shi, Huaizhong Zhao© 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.
Funding
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
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- Science
Department
- Mathematical Sciences
Published in
Journal of Mathematical Analysis and ApplicationsVolume
485Issue
1Publisher
ElsevierVersion
- AM (Accepted Manuscript)
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© ElsevierPublisher statement
This paper was accepted for publication in the journal Journal of Mathematical Analysis and Applications and the definitive published version is available at https://doi.org/10.1016/j.jmaa.2019.123791Publication date
2019-12-17Copyright date
2020ISSN
0022-247XeISSN
1096-0813Publisher version
Language
- en
Depositor
Prof Huaizhong Zhao Deposit date: 16 January 2020Article number
123791Usage metrics
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