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Keywords:
infinite horizon; filtration; backward stochastic integral; backward doubly stochastic differential equations
infinite horizon; filtration; backward stochastic integral; backward doubly stochastic differential equations
Summary:
We give a sufficient condition on the coefficients of a class of infinite horizon backward doubly stochastic differential equations (BDSDES), under which the infinite horizon BDSDES have a unique solution for any given square integrable terminal values. We also show continuous dependence theorem and convergence theorem for this kind of equations.
References:
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