화학공학소재연구정보센터
SIAM Journal on Control and Optimization, Vol.37, No.3, 825-843, 1999
Fully coupled forward-backward stochastic differential equations and applications to optimal control
Existence and uniqueness results of fully coupled forward-backward stochastic differential equations with an arbitrarily large time duration are obtained. Some stochastic Hamilton systems arising in stochastic optimal control systems and mathematical finance can be treated within our framework.