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1、LectureNotesinMathematics1702Editors:J.-M.Morel,CachanF.Takens,GroningenB.Teissier,ParisJinMaJiongminYongForward-BackwardStochasticDifferentialEquationsandtheirApplicationsABCAuthorJinMaDepartmentofMathematicsPurdueUniversity150N.UniversityStreetWestLafayetteIN4790
2、6-1395,USAe-mail:majin@math.purdue.eduJiongminYongDepartmentofMathematicsFudanUniversityShanghai200433People’sRepublicofChinae-mail:jyong@fudan.edu.cnCataloging-in-PublicationDataavailableMathematicsSubjectClassification(2000):PRIMARY:60H10,15,20,30;93Eo3;SECONDARY:
3、35K15,20,45,65;65M06,12,15,25;65U05;90A09,10,12,16ISSNprintedition:0075-8434ISBN-103-540-65960-9SpringerBerlinHeidelbergNewYorkISBN-13978-3-540-65960-0SpringerBerlinHeidelbergNewYorkCorrected3rdprintingDOI10.1007/BFb0092524Thisworkissubjecttocopyright.Allrightsarer
4、eserved,whetherthewholeorpartofthematerialisconcerned,specificallytherightsoftranslation,reprinting,reuseofillustrations,recitation,broadcasting,reproductiononmicrofilmorinanyotherway,andstorageindatabanks.Duplicationofthispublicationorpartsthereofispermittedonlyunde
5、rtheprovisionsoftheGermanCopyrightLawofSeptember9,1965,initscurrentversion,andpermissionforusemustalwaysbeobtainedfromSpringer.ViolationsareliableforprosecutionundertheGermanCopyrightLaw.SpringerisapartofSpringerScience+BusinessMediaspringer.com°cSpringer-VerlagBer
6、linHeidelberg2007Theuseofgeneraldescriptivenames,registerednames,trademarks,etc.inthispublicationdoesnotimply,evenintheabsenceofaspecificstatement,thatsuchnamesareexemptfromtherelevantprotectivelawsandregulationsandthereforefreeforgeneraluse.Typesetting:Camera-ready
7、LATEXoutputbytheauthorsPrintedonacid-freepaperSPIN:11367352VA41/3100/SPi543210ToYunandMeifenPrefaceThisbookisintendedtogiveanintroductiontothetheoryofforward-backwardstochasticdi erentialequations(FBSDEs,forshort)whichhasreceivedstrongattentioninrecentyearsbecauseo
8、fitsinterestingstructureanditsusefulnessinvariousapplied elds.ThemotivationforstudyingFBSDEscomesoriginallyfromstochasticoptimalcontroltheory,tha
