Adapted solution of a backward stochastic differential equation

Ordinary differential equations and systems with randomness (34F05) Optimality conditions for problems involving randomness (49K45) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic systems in control theory (general) (93E03) Optimal stochastic control (93E20)

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Cites work

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Necessary Conditions for Continuous Parameter Stochastic Optimization Problems
Théorie probabiliste du contrôle des diffusions

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Completeness of security markets and backward stochastic differential equations with unbounded coefficients
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Some uniqueness results for one-dimensional BSDEs with uniformly continuous coefficients
The relationship between risk measures and Choquet expectations in the framework of \(g\)-expectations
Stochastic optimization theory of backward stochastic differential equations with jumps and viscosity solutions of Hamilton-Jacobi-Bellman equations
Maximal inequalities for \(g\)-martingales
Stochastic PDIEs with nonlinear Neumann boundary conditions and generalized backward doubly stochastic differential equations driven by Lévy processes
Backward stochastic differential equations with non-Lipschitz coefficients
Solutions to general forward-backward doubly stochastic differential equations
Moment inequality and Hölder inequality for BSDEs
A note on Jensen's inequality for BSDEs
Navier-Stokes equations and forward-backward SDEs on the group of diffeomorphisms of a torus
Risk-sensitive control for a class of homing problems
Optimal consumption choices for a `large' investor
Adapted solution of a degenerate backward SPDE, with applications
Stochastic controls with terminal contingent conditions
Backward stochastic differential equations with constraints on the gains-process
Probabilistic interpretation of a system of quasilinear elliptic partial differential equations under Neumann boundary conditions
Efficient and equilibrium allocations with stochastic differential utility
Backward doubly stochastic differential equations and systems of quasilinear SPDEs
Solving forward-backward stochastic differential equations explicitly -- a four step scheme
Asset and commodity prices with multi-attribute durable goods
Reflected solutions of backward SDE's, and related obstacle problems for PDE's
Finding adapted solutions of forward-backward stochastic differential equations: Method of continuation
Reflected solutions of backward stochastic differential equations with continuous coefficient
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An option pricing problem with the underlying stock paying dividends
Backward stochastic differential equations with continuous coefficient
On solutions of backward stochastic differential equations with jumps and applications
A note on probabilistic interpretation for quasilinear mixed boundary problems
A type of time-symmetric forward-backward stochastic differential equations
Jensen's inequality for \(g\)-expectation. I
Efficient consumption set under recursive utility and unknown beliefs.
A numerical scheme for BSDEs
Infinite interval backward stochastic differential equations in the plane
Existence, uniqueness and stability of backward stochastic differential equations with locally monotone coefficient
Backward stochastic differential equation with random measures
Futures market equilibrium with heterogeneity and a spot market at harvest
An existence theorem of intertemporal recursive utility in the presence of Lévy jumps
Comparison theorem for solutions of backward stochastic differential equations with continuous coefficient
Infinite horizon forward-backward stochastic differential equations
Reflected BSDEs and mixed game problem
Infinite horizon backward stochastic differential equation and exponential convergence index assignment of stochastic control systems
Backward problems for stochastic differential equations on the Sierpinski gasket
Quadratic backward stochastic differential equations driven by \(G\)-Brownian motion: discrete solutions and approximation
Optimal mean-variance investment and reinsurance problem for an insurer with stochastic volatility
A weak version of path-dependent functional Itô calculus
Stochastic maximum principle for forward-backward regime switching jump diffusion systems and applications to finance
Constrained LQ problem with a random jump and application to portfolio selection
Recursive stochastic linear-quadratic optimal control and nonzero-sum differential game problems with random jumps
An asymptotic expansion for forward-backward SDEs: a Malliavin calculus approach
Signal propagation in small-world biological networks with weak noise
BSDEs with monotone generator driven by time-changed Lévy noises
The stochastic maximum principle in singular optimal control with recursive utilities
Solutions to BSDEs driven by both fractional Brownian motions and the underlying standard Brownian motions
A sufficient stochastic maximum principle for a kind of recursive optimal control problem with obstacle constraint
General mean-field BSDEs with continuous coefficients
Reflected backward stochastic differential equations with resistance
Backward stochastic differential equations with Markov chains and related asymptotic properties
Reflected backward stochastic differential equations with perturbations
Infinite horizon optimal control problem of mean-field backward stochastic delay differential equation under partial information
Mean-field backward stochastic differential equations in general probability spaces
Supermartingale decomposition theorem under \(G\)-expectation
Pricing and hedging vulnerable option with funding costs and collateral
Backward stochastic Volterra integral equations with additive perturbations
Solutions to BSDEs driven by multidimensional fractional Brownian motions
Maximum principle for optimal control problems of forward-backward regime-switching systems involving impulse controls
Near-optimal control of stochastic recursive systems via viscosity solution
On the homotopy analysis method for backward/forward-backward stochastic differential equations
Viscosity solutions of obstacle problems for fully nonlinear path-dependent PDEs
Quasi-linear PDEs and forward-backward stochastic differential equations: weak solutions
\(L^{p}\) solutions of infinite time interval backward doubly stochastic differential equations under monotonicity and general increasing conditions
Pontryagin's risk-sensitive stochastic maximum principle for backward stochastic differential equations with application
A representation theorem for generators of BSDEs with general growth generators in y and its applications
Backward stochastic dynamics with a subdifferential operator and non-local parabolic variational inequalities
Near-optimality conditions in stochastic control of linear fully coupled FBSDEs
Dynamic programming approach to principal-agent problems
Numerical approximation of BSDEs using local polynomial drivers and branching processes
Controlled mean-field backward stochastic differential equations with jumps involving the value function
On optimal control of forward-backward stochastic differential equations
A regression-based numerical scheme for backward stochastic differential equations
The general relaxed control problem of fully coupled forward-backward doubly system
Double barrier reflected BSDEs with stochastic Lipschitz coefficient
BSDEs with diffusion constraint and viscous Hamilton-Jacobi equations with unbounded data
Backward nonlinear expectation equations
Backward stochastic differential equations with rank-based data
Special weak Dirichlet processes and BSDEs driven by a random measure
Non-zero sum differential games of anticipated forward-backward stochastic differential delayed equations under partial information and application
Mean-field type games between two players driven by backward stochastic differential equations
A second-order stochastic maximum principle for generalized mean-field singular control problem
Representation of asymptotic values for nonexpansive stochastic control systems
Nesting Monte Carlo for high-dimensional non-linear PDEs
Reflected BSDEs with optional barrier in a general filtration
Non-smooth analysis method in optimal investment-BSDE approach
General linear forward and backward stochastic difference equations with applications
Linear quadratic nonzero sum differential games with asymmetric information
A variational formula for nonzero-sum stochastic differential games of FBSDEs and applications
Backward stochastic \(H_2 / H_{\infty}\) control: infinite horizon case
One kind of multiple dimensional Markovian BSDEs with stochastic linear growth generators
Reflected and doubly reflected backward stochastic differential equations with time-delayed generators

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