一类正倒向随机微分方程的极小解

On the Minimal Solution of a Class of FBSDEs

研究了一类受限的正倒向随机微分方程极小解的存在性 .利用惩罚方法构造一个无约束正倒向随机微分方程序列 ,并证明了这些方程的解强收敛于受限的正倒向随机微分方程的极小解 .

In this paper, the existence of minimal solution of a class of forward\|backward stochastic differential equations(FBSDEs)with constraint was studied. The penalization method was used to construct a sequence of FBSDEs without constraint,the result shows that the solution of these equations converge strongly to the minimal solution of the FBSDEs with constraint.