Linear Forward-Backward Stochastic Differential Equations and a Riccati Type Equation
Date Issued
2012
Date
2012
Author(s)
Lin, Po-Tso
Abstract
In this paper we investigate the solvability of linear forward-backward stochastic differential equations (FBSDEs, for short). We give sufficient and necessary conditions of the solvability in linear forward-backward stochastic differential equations and prove it in a special case ($widehat A=O$). These results are extensional work of Ma & Yong (2000). Then we introduce the relationship between forward equation and backward equation, we also can get similar sufficient and necessary conditions to solve linear forward-backward stochastic differential equations by solving a matrix ordinary differential equation (a Riccati type equation).
Subjects
Forward-Backward Stochastic Differential Equation
Riccati Type Equation
Type
thesis
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