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1、LectureNotesinMathematics1702Editors:A.Dold,HeidelbergF.Takens,GroningenB.Teissier,ParisSpringerBerlinHeidelbergNewYorkBarcelonaHongKongLondonMilanParisSingaporeTokyoJinMaJiongminYongForward-BackwardStochasticDifferentialEquationsandTheirApplicationsSpringerAuthorsJinMaJiongminYongDepartment
2、ofMathematicsDepartmentofMathematicsPurdueUniversityFudanUniversityWestLafayette,IN47906-1395Shanghai,200433,ChinaUSAe-mail:jyong@fudan.edu.cne-mail:majin@math.purdue.eduCataloging-in-PublicationDataappliedforDieDeutscheBibliothek-CIP-EinheitsaufnahmeMa,Jin:Forewardbackwardstochasticdifferen
3、tialequationsandtheirapplications/JinMa;JiongminYong.-Berlin,Heidelberg;NewYork;Barcelona;HongKong;London;Milan,Paris;Singapore,Tokyo:Springer,1999(Lecturenotesinmathematics;1702)ISBN3-540-65960-9MathematicsSubjectClassification(1991):Primary:60H10,15,20,30;93E03;Secondary:35K15,20,45,65;65M
4、06,12,15,25;65U05;90A09,10,12,16ISSN0075-8434ISBN3-540-65960-9Springer-VerlagBerlinHeidelbergNewYorkThisworkissubjecttocopyright.Allrightsarereserved,whetherthewholeorpartofthematerialisconcerned,specificallytherightsoftranslation,reprinting,re-useofillustrations,recitation,broadcasting,repr
5、oductiononmicrofilmsorinanyotherway,andstorageindatabanks.DuplicationofthispublicationorpartsthereofispermittedonlyundertheprovisionsoftheGermanCopyrightLawofSeptember9,1965,initscurrentversion,andpermissionforusemustalwaysbeobtainedfromSpringer-Verlag.Violationsareliableforprosecutionundert
6、heGermanCopyrightLaw.9Springer-VerlagBerlinHeidelberg1999PrintedinGermanyTheuseofgeneraldescriptivenames,registerednames,trademarks,etc.inthispublicationdoesnotimply,evenintheabsenceofaspecificstatement,thatsuchnamesareexemptfromtherelevantprotectivelawsandregulationsandtheretbrefreeforgene
7、raluse.Typesetting:Camera-readyTEXoutputbytheauthorsSPIN:1065017441/3143-543210-Printedonacid-freepaperToYunandMeifenPrefaceThisbookisintendedtogiveanintroductiontothetheoryofforward-backwardstochasticdifferentialequations(FBSDEs,forshort)whichhasr
