Forward-backward SDEs with random terminal time and applications to pricing special European-type options for a large investor (Q653653): Difference between revisions

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scientific article

Language	Label	Description	Also known as
English	Forward-backward SDEs with random terminal time and applications to pricing special European-type options for a large investor	scientific article

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instance of

scholarly article

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title

Forward-backward SDEs with random terminal time and applications to pricing special European-type options for a large investor (English)

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author

Juliang Yin

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published in

Bulletin des Sciences Mathématiques

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publication date

19 December 2011

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zbMATH Keywords

FBSDEs

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adapted solutions

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contingent claims

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large investor

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forward-backward stochastic differential equations

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.bulsci.2011.04.001

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cites work

Backward-forward stochastic differential equations

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Hedging options for a large investor and forward-backward SDE's

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Backwards SDE with random terminal time and applications to semilinear elliptic PDE

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Solution of forward-backward stochastic differential equations

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Forward-backward stochastic differential equations with nonsmooth coefficients.

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Solving forward-backward stochastic differential equations explicitly -- a four step scheme

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Solvability of forward-backward SDEs and the nodal set of Hamilton- Jacobi-Bellman equations

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Forward-backward stochastic differential equations and their applications

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Forward-backward stochastic differential equations and quasilinear parabolic PDEs

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Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control

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Infinite horizon forward-backward stochastic differential equations

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On Solutions of Forward‐Backward Stochastic Differential Equations with Poisson Jumps

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Q4672586

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On solutions of a class of infinite horizon FBSDEs

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The adapted solution and comparison theorem for backward stochastic differential equations with Poisson jumps and applications

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Finding adapted solutions of forward-backward stochastic differential equations: Method of continuation

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Identifiers

zbMATH Open document ID

1230.60064

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DOI

10.1016/j.bulsci.2011.04.001

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:653653

@@ Property / cites work @@
+Backward-forward stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Hedging options for a large investor and forward-backward SDE's
+Normal rank
@@ Property / cites work @@
+Backwards SDE with random terminal time and applications to semilinear elliptic PDE
+Normal rank
@@ Property / cites work @@
+Solution of forward-backward stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Forward-backward stochastic differential equations with nonsmooth coefficients.
+Normal rank
@@ Property / cites work @@
+Solving forward-backward stochastic differential equations explicitly -- a four step scheme
+Normal rank
@@ Property / cites work @@
+Solvability of forward-backward SDEs and the nodal set of Hamilton- Jacobi-Bellman 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 @@
+Infinite horizon forward-backward stochastic differential equations
+Normal rank
@@ Property / cites work @@
+On Solutions of Forward‐Backward Stochastic Differential Equations with Poisson Jumps
+Normal rank
@@ Property / cites work @@
+Q4672586
@@ Property / cites work: Q4672586 / rank @@
+Normal rank
@@ Property / cites work @@
+On solutions of a class of infinite horizon FBSDEs
+Normal rank
@@ Property / cites work @@
+The adapted solution and comparison theorem for backward stochastic differential equations with Poisson jumps and applications
+Normal rank
@@ Property / cites work @@
+Finding adapted solutions of forward-backward stochastic differential equations: Method of continuation
+Normal rank