Pages that link to "Item:Q1326299"
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The following pages link to Solving forward-backward stochastic differential equations explicitly -- a four step scheme (Q1326299):
Displayed 50 items.
- Path-dependent optimal stochastic control and viscosity solution of associated Bellman equations (Q255513) (← links)
- A first order semi-discrete algorithm for backward doubly stochastic differential equations (Q256815) (← links)
- A semidiscrete Galerkin scheme for backward stochastic parabolic differential equations (Q326804) (← links)
- Forward-backward evolution equations and applications (Q338661) (← links)
- BS\(\Delta\)Es and BSDEs with non-Lipschitz drivers: comparison, convergence and robustness (Q358147) (← links)
- Markovian forward-backward stochastic differential equations and stochastic flows (Q360694) (← links)
- Stochastic \(H_2/H_\infty\)-control for a dynamical system with internal noises multiplicative with respect to state, control, and external disturbance (Q361671) (← links)
- Singular FBSDEs and scalar conservation laws driven by diffusion processes (Q377517) (← links)
- Forward-backward systems for expected utility maximization (Q401458) (← links)
- Solvability of forward-backward stochastic partial differential equations (Q402714) (← links)
- Reflected solutions of generalized anticipated BSDEs and application to reflected BSDEs with functional barrier (Q426712) (← links)
- A dynamic equilibrium model of imperfectly integrated financial markets (Q472216) (← links)
- Well-posedness of mean-field type forward-backward stochastic differential equations (Q491912) (← links)
- Design of optimal state controller robust to external disturbance for one class of nonstationary stochastic systems (Q500292) (← links)
- Optimal consumption and investment with Epstein-Zin recursive utility (Q503395) (← links)
- Averaging for BSDEs with null recurrent fast component. Application to homogenization in a non periodic media (Q516020) (← links)
- Dynamic investment strategies to reaction-diffusion systems based upon stochastic differential utilities (Q538320) (← links)
- Four step scheme for general Markovian forward-backward SDEs (Q601070) (← links)
- A parallel four step domain decomposition scheme for coupled forward-backward stochastic differential equations (Q640015) (← links)
- Forward-backward SDEs with random terminal time and applications to pricing special European-type options for a large investor (Q653653) (← links)
- 2D backward stochastic Navier-Stokes equations with nonlinear forcing (Q655328) (← links)
- Malliavin calculus for backward stochastic differential equations and application to numerical solutions (Q657705) (← links)
- On weak solutions of forward-backward SDEs (Q662818) (← links)
- Improved error bounds for quantization based numerical schemes for BSDE and nonlinear filtering (Q681989) (← links)
- On non-Markovian forward-backward SDEs and backward stochastic PDEs (Q713213) (← links)
- Backward stochastic dynamics on a filtered probability space (Q717884) (← links)
- Backward SDEs driven by Gaussian processes (Q740188) (← links)
- Probabilistic interpretation for a system of quasilinear parabolic partial differential equation combined with algebra equations (Q744227) (← links)
- A new numerical method for 1-D backward stochastic differential equations without using conditional expectations (Q778246) (← links)
- Linear forward-backward stochastic differential equations with random coefficients (Q818818) (← links)
- Numerical approach to asset pricing models with stochastic differential utility (Q853855) (← links)
- Weak existence and uniqueness for forward-backward SDEs (Q860697) (← links)
- On the solvability of infinite horizon forward-backward stochastic differential equations with absorption coefficients (Q866594) (← links)
- Euler-type schemes for weakly coupled forward-backward stochastic differential equations and optimal convergence analysis (Q893337) (← links)
- Efficient numerical Fourier methods for coupled forward-backward SDEs (Q898981) (← links)
- Linear quadratic stochastic integral games and related topics (Q904652) (← links)
- Linear quadratic nonzero-sum differential games with random jumps (Q940010) (← links)
- On solutions of a class of infinite horizon FBSDEs (Q951188) (← links)
- Option pricing with an illiquid underlying asset market (Q956485) (← links)
- Maximum principle for partially-observed optimal control of fully-coupled forward-backward stochastic systems (Q983721) (← links)
- Comparison theorems for forward backward SDEs (Q1004255) (← links)
- Solutions to general forward-backward doubly stochastic differential equations (Q1030383) (← links)
- A maximum principle for optimal control problem of fully coupled forward-backward stochastic systems with partial information (Q1042987) (← links)
- Navier-Stokes equations and forward-backward SDEs on the group of diffeomorphisms of a torus (Q1045790) (← links)
- Optimal consumption choices for a `large' investor (Q1128528) (← links)
- Adapted solution of a degenerate backward SPDE, with applications (Q1275953) (← links)
- Semimartingale integral representation (Q1356375) (← links)
- Entropy solutions to a strongly degenerate anisotropic convection--diffusion equation with application to utility theory (Q1406983) (← links)
- A type of time-symmetric forward-backward stochastic differential equations (Q1408214) (← links)
- A numerical scheme for BSDEs (Q1431562) (← links)