How do future expectations affect the financial sector? Expectations modeling, infinite horizon (controlled) random FBSDEs and stochastic viscosity solutions

In this paper we study a class of infinite horizon fully coupled forward-backward stochastic differential equations (FBSDEs), that are stimulated by various continuous time future expectations models with random coefficients. Under standard Lipschitz and monotonicity conditions, and by means of the contraction mapping principle, we establish existence, uniqueness, a comparison property and dependence on a parameter of adapted solutions. Making further the connection with infinite horizon quasilinear backward stochastic partial differential equations (BSPDEs) via a generalization of the well known four-step-scheme, we are led to the notion of stationary stochastic viscosity solutions. A stochastic maximum principle for the optimal control problem of such FBSDEs is also provided as an application to this framework.