On well-posedness of forward-backward SDEs -- a unified approach (Q2354895): Difference between revisions

@@ Property / arXiv ID @@
+.4658
@@ Property / arXiv ID: 1110.4658 / rank @@
+Normal rank
@@ Property / cites work @@
+Backward-forward stochastic differential equations
+Normal rank
@@ Property / cites work @@
+BSDE with quadratic growth and unbounded terminal value
+Normal rank
@@ Property / cites work @@
+Hedging options for a large investor and forward-backward SDE's
+Normal rank
@@ Property / cites work @@
+The steepest descent method for forward-backward SDEs
+Normal rank
@@ Property / cites work @@
+On the existence and uniqueness of solutions to FBSDEs in a non-degenerate case.
+Normal rank
@@ Property / cites work @@
+On semi-linear degenerate backward stochastic partial differential equations
+Normal rank
@@ Property / cites work @@
+Solution of forward-backward stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Q4002114
@@ Property / cites work: Q4002114 / rank @@
+Normal rank
@@ Property / cites work @@
+On the transformation of some classes of martingales by a change of law
+Normal rank
@@ Property / cites work @@
+Backward stochastic differential equations and partial differential equations with quadratic growth.
+Normal rank
@@ Property / cites work @@
+Global adapted solution of one-dimensional backward stochastic Riccati equations, with application to the mean-variance hedging.
+Normal rank
@@ Property / cites work @@
+Solving forward-backward stochastic differential equations explicitly -- a four step scheme
+Normal rank
@@ Property / cites work @@
+On non-Markovian forward-backward SDEs and backward stochastic PDEs
+Normal rank
@@ Property / cites work @@
+Adapted solution of a degenerate backward SPDE, with applications
+Normal rank
@@ Property / cites work @@
+On linear, degenerate backward stochastic partial differential equations
+Normal rank
@@ Property / cites work @@
+Forward-backward stochastic differential equations and their applications
+Normal rank
@@ Property / cites work @@
+Forward-backward stochastic differential equations and quasilinear parabolic PDEs
+Normal rank
@@ Property / cites work @@
+Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control
+Normal rank
@@ Property / cites work @@
+General Linear Quadratic Optimal Stochastic Control Problems with Random Coefficients: Linear Stochastic Hamilton Systems and Backward Stochastic Riccati Equations
+Normal rank
@@ Property / cites work @@
+The comparison theorem of FBSDE
@@ Property / cites work: The comparison theorem of FBSDE / rank @@
+Normal rank
@@ Property / cites work @@
+Fully coupled FBSDE with Brownian motion and Poisson process in stopping time duration
+Normal rank
@@ Property / cites work @@
+Comparison theorems for forward backward SDEs
@@ Property / cites work: Comparison theorems for forward backward SDEs / rank @@
+Normal rank
@@ Property / cites work @@
+Probabilistic interpretation for a system of quasilinear parabolic partial differential equation combined with algebra equations
+Normal rank
@@ Property / cites work @@
+Finding adapted solutions of forward-backward stochastic differential equations: Method of continuation
+Normal rank
@@ Property / cites work @@
+Linear forward-backward stochastic differential equations with random coefficients
+Normal rank
@@ Property / cites work @@
+Forward-backward stochastic differential equations with mixed initial-terminal conditions
+Normal rank
@@ Property / cites work @@
+Equivalent cost functionals and stochastic linear quadratic optimal control problems
+Normal rank
@@ Property / cites work @@
+The wellposedness of FBSDEs
@@ Property / cites work: The wellposedness of FBSDEs / rank @@
+Normal rank
@@ Property / OpenAlex ID @@
+W2124148726
@@ Property / OpenAlex ID: W2124148726 / rank @@
+Normal rank