Backward-forward stochastic differential equations
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(only showing first 100 items - show all)- Sobolev weak solutions for parabolic PDEs and FBSDEs
- Solutions to general forward-backward doubly stochastic differential equations
- A maximum principle for optimal control problem of fully coupled forward-backward stochastic systems with partial information
- Adapted solution of a degenerate backward SPDE, with applications
- Linear forward-backward stochastic differential equations
- Continuous-time security pricing. A utility gradient approach
- Efficient and equilibrium allocations with stochastic differential utility
- Solving forward-backward stochastic differential equations explicitly -- a four step scheme
- Asset and commodity prices with multi-attribute durable goods
- Recursive valuation of defaultable securities and the timing of resolution of uncertainty
- A comparison result for FBSDE with applications to decisions theory
- A type of time-symmetric forward-backward stochastic differential equations
- Infinite horizon forward-backward stochastic differential equations
- Corrigendum to ``Stability in \(\mathbb D\) of martingales and backward equations under discretization of filtration
- Recursive stochastic linear-quadratic optimal control and nonzero-sum differential game problems with random jumps
- Nonlinear valuation under credit, funding, and margins: existence, uniqueness, invariance, and disentanglement
- Quasi-linear PDEs and forward-backward stochastic differential equations: weak solutions
- Near-optimality conditions in stochastic control of linear fully coupled FBSDEs
- A regression-based numerical scheme for backward stochastic differential equations
- The general relaxed control problem of fully coupled forward-backward doubly system
- Backward nonlinear expectation equations
- Linear-quadratic stochastic two-person nonzero-sum differential games: open-loop and closed-loop Nash equilibria
- General linear forward and backward stochastic difference equations with applications
- Terminal-dependent statistical inference for the FBSDEs models
- Fully coupled mean-field forward-backward stochastic differential equations and stochastic maximum principle
- Fully coupled forward-backward stochastic differential equations on Markov chains
- The maximum principle for partially observed optimal control of FBSDE driven by Teugels martingales and independent Brownian motion
- On the existence and uniqueness of solutions to FBSDEs in a non-degenerate case.
- PDE solutions of stochastic differential utility
- Backward-forward SDE's and stochastic differential games
- Forward-backward stochastic differential equations with nonsmooth coefficients.
- Problem of eigenvalues of stochastic Hamiltonian systems with boundary conditions.
- Solution of forward-backward stochastic differential equations
- Stability of backward stochastic differential equations
- Perturbed backward stochastic differential equations
- Forward-backward doubly stochastic differential equations and related stochastic partial differential equations
- Backward linear-quadratic stochastic optimal control and nonzero-sum differential game problem with random jumps
- A maximum principle for controlled time-symmetric forward-backward doubly stochastic differential equation with initial-terminal state constraints
- Exchange rate bifurcation in a stochastic evolutionary finance model
- On a stochastic differential equation arising in a price impact model
- Optimal consumption and portfolio selection with stochastic differential utility
- Forward backward SDEs in weak formulation
- Backward stochastic Volterra integral equations -- a brief survey
- Infinite horizon forward-backward doubly stochastic differential equations and related SPDEs
- A maximum principle for fully coupled controlled forward-backward stochastic difference systems of mean-field type
- Existence and uniqueness of solution for coupled fractional mean-field forward-backward stochastic differential equations
- Explicit solution to forward and backward stochastic differential equations with state delay and its application to optimal control
- Mean-field type FBSDEs in a domination-monotonicity framework and LQ multi-level Stackelberg games
- On forward-backward stochastic differential equations in a domination-monotonicity framework
- FBSDEs involving time delays and advancements on infinite horizon and LQ problems with delays
- A forward-backward probabilistic algorithm for the incompressible Navier-Stokes equations
- Coupled FBSDEs with measurable coefficients and its application to parabolic PDEs
- Convergence of the deep BSDE method for coupled FBSDEs
- A modified MSA for stochastic control problems
- Local wellposedness of coupled backward stochastic differential equations driven by G-Brownian motions
- Utility maximization via decoupling fields
- Global solutions of stochastic Stackelberg differential games under convex control constraint
- A note on FBSDE characterization of mean exit times
- Backward stochastic Volterra integral equations -- representation of adapted solutions
- An exploration of \(L^p\)-theory for forward-backward stochastic differential equations with random coefficients on small durations
- Forward-backward SDEs with distributional coefficients
- Backward-forward linear-quadratic mean-field games with major and minor agents
- Forward-backward stochastic differential equations on infinite horizon and quasilinear elliptic PDEs
- The optimal control of fully-coupled forward-backward doubly stochastic systems driven by Itô-Lévy processes
- Solutions for functional fully coupled forward-backward stochastic differential equations
- Arrow sufficient conditions for optimality of fully coupled forward-backward stochastic differential equations with applications to finance
- Forward-backward stochastic differential systems associated to Navier-Stokes equations in the whole space
- Infinite horizon optimal control of forward-backward stochastic differential equations with delay
- On well-posedness of forward-backward SDEs -- a unified approach
- Stochastic differential games for fully coupled FBSDEs with jumps
- Convergence error estimates of the Crank-Nicolson scheme for solving decoupled FBSDEs
- A term structure model with preferences for the timing of resolution of uncertainty
- Forward-backward SDEs driven by Lévy process in stopping time duration
- Well-posedness of fully coupled linear forward-backward stochastic differential equations
- \(L^p\) estimates for fully coupled FBSDEs with jumps
- Forward-backward SDEs and the CIR model
- BSDE on an infinite horizon and elliptic PDEs in infinite dimension
- Time discretization and Markovian iteration for coupled FBSDEs
- On a class of forward-backward stochastic differential systems in infinite dimensions
- FBSDE approach to utility portfolio selection in a market with random parameters
- Kalman-Bucy filtering equations of forward and backward stochastic systems and applications to recursive optimal control problems
- Rational expectations models: An approach using forward-backward stochastic differential equations
- A forward-backward stochastic algorithm for quasi-linear PDEs
- Existence of the solutions of backward-forward SDE's with continuous monotone coefficients
- Forward-backward stochastic differential equation with subdifferential operator and associated variational inequality
- Dynamic optimization of large-population systems with partial information
- Numerical methods for forward-backward stochastic differential equations
- The equivalence between uniqueness and continuous dependence of solutions for FBSDEs with continuous monotone coefficients
- Existence and uniqueness of the solutions of forward-backward doubly stochastic differential equations with Poisson jumps
- Solution to the forward and backward stochastic difference equations with asymmetric information and application
- Necessary and sufficient optimality conditions for relaxed and strict control of forward-backward doubly SDEs with jumps under full and partial information
- An FBSDE approach to market impact games with stochastic parameters
- Existence of global solutions for multi-dimensional coupled FBSDEs with diagonally quadratic generators
- On the viscosity solutions of a stochastic differential utility problem
- Nonparametric estimation for FBSDEs models with applications in finance
- Necessary condition for near optimal control of linear forward-backward stochastic differential equations
- Fully coupled forward-backward SDEs involving the value function and associated nonlocal Hamilton-Jacobi-Bellman equations
- Ergodic backward stochastic difference equations
- Forward-backward stochastic partial differential equations with non-monotonic coefficients
- Recursive stochastic \(H_{2}/H_{\infty}\) control problem for delay systems involving continuous and impulse controls
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