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Comptes Rendus Mathématique
Volume 336, n° 9
pages 773-778 (mai 2003)
Doi : 10.1016/S1631-073X(03)00183-3
Received : 4 June 2002 ;  accepted : 1 April 2003
A type of time-symmetric forward-backward stochastic differential equations

Shige  Peng 1 ,  Yufeng  Shi 2 *
School of Mathematics and System Sciences, Shandong University, Jinan 250100, China 

*Corresponding author.

In this Note, we study a type of time-symmetric forward-backward stochastic differential equations. Under some monotonicity assumptions, we establish the existence and uniqueness theorem by means of a method of continuation. We also give an application. To cite this article: S. Peng, Y. Shi, C. R. Acad. Sci. Paris, Ser. I 336 (2003).


Nous étudions dans cette Note un type d'équations différentielles stochastiques progressives-rétrogrades symétriques par rapport au temps. Sous certaines conditions de monotonie, nous donnons un théorème d'existence et unicité des solutions des équations par une méthode de continuation. Ensuite nous présentons une application. Pour citer cet article : S. Peng, Y. Shi, C. R. Acad. Sci. Paris, Ser. I 336 (2003).

1  Partially supported by NSF of China Grant 10131040.

2  Partially supported by Foundation for University Key Teacher by Ministry of Education of China, National Natural Science Foundation of China Grant 10201018, NSF of China Grant 10001022 and Doctor Promotional Foundation of Shandong Grant 02BS127.

© 2003  Académie des sciences@@#104156@@

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