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

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Cited in

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Comparison theorems for forward backward SDEs
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
Infinite horizon boundary value problems and applications
A type of time-symmetric forward-backward stochastic differential equations
Infinite horizon forward-backward stochastic differential equations
Recursive stochastic linear-quadratic optimal control and nonzero-sum differential game problems with random jumps
Systemic risk and stochastic games with delay
An indefinite stochastic linear quadratic optimal control problem with delay and related forward-backward stochastic differential equations
On the existence of optimal controls for backward stochastic partial differential equations
Maximum principle for forward-backward stochastic control system driven by Lévy process
Near-optimal control of stochastic recursive systems via viscosity solution
Quasi-linear PDEs and forward-backward stochastic differential equations: weak solutions
Near-optimality conditions in stochastic control of linear fully coupled FBSDEs
On optimal control of forward-backward stochastic differential equations
Well-posedness of a class of two-point boundary value problems associated with ordinary differential 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
A variational formula for nonzero-sum stochastic differential games of FBSDEs and applications
Backward stochastic \(H_2 / H_{\infty}\) control: infinite horizon case
Stochastic maximum principle of near-optimal control of fully coupled forward-backward stochastic differential equation
Fully coupled mean-field forward-backward stochastic differential equations and stochastic maximum principle
Fully coupled forward-backward stochastic differential equations on Markov chains
Indefinite stochastic linear-quadratic optimal control problems with random jumps and related stochastic Riccati equations
The maximum principle for partially observed optimal control of FBSDE driven by Teugels martingales and independent Brownian motion
Delayed stochastic linear-quadratic control problem and related applications
On the existence and uniqueness of solutions to FBSDEs in a non-degenerate case.
A discrete optimality system for an optimal harvesting problem
Forward-backward stochastic differential equations with Brownian motion and Poisson process
Problem of eigenvalues of stochastic Hamiltonian systems with boundary conditions.
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 partial information non-zero sum differential game of backward stochastic differential equations with applications
Singular forward-backward stochastic differential equations and emissions derivatives
Reflected forward-backward stochastic differential equations with continuous monotone coefficients
Maximum principle for forward-backward control system driven by Itô-Lévy processes under initial-terminal constraints
Linear quadratic mean-field-game of backward stochastic differential systems
Forward backward SDEs in weak formulation
Linear-quadratic optimal control for time-delay stochastic system with recursive utility under full and partial information
Infinite horizon forward-backward doubly stochastic differential equations and related SPDEs
High-order combined multi-step scheme for solving forward backward stochastic differential equations
Linear-quadratic non-zero sum differential game for mean-field stochastic systems with asymmetric information
Strong solutions of forward-backward stochastic differential equations with measurable coefficients
Optimal control and stabilization for Itô systems with input delay
Existence and uniqueness of solution for coupled fractional mean-field forward-backward stochastic differential equations
Mean field games with common noises and conditional distribution dependent FBSDEs
Mean-field type FBSDEs in a domination-monotonicity framework and LQ multi-level Stackelberg games
Linear quadratic mean field social control with common noise: a directly decoupling method
On forward-backward stochastic differential equations in a domination-monotonicity framework
A mean-field optimal control for fully coupled forward-backward stochastic control systems with Lévy processes
FBSDEs involving time delays and advancements on infinite horizon and LQ problems with delays
Social optima in mean field linear-quadratic-Gaussian models with control input constraint
Explicit multistep stochastic characteristic approximation methods for forward backward stochastic differential equations
Backward-forward linear-quadratic mean-field Stackelberg games
A class of quadratic forward-backward stochastic differential equations
Maximum principle for general partial information nonzero sum stochastic differential games and applications
Coupled FBSDEs with measurable coefficients and its application to parabolic PDEs
\(\epsilon\)-Nash mean-field games for general linear-quadratic systems with applications
Optimal position targeting via decoupling fields
The risk-sensitive maximum principle for controlled forward-backward stochastic differential equations
Exact controllability of stochastic differential equations with memory
Master equation for finite state mean field games with additive common noise
The Skorokhod embedding problem for inhomogeneous diffusions
Backward stochastic differential equations with Markov chains and associated PDEs
A modified MSA for stochastic control problems
Local wellposedness of coupled backward stochastic differential equations driven by G-Brownian motions
Linear-quadratic generalized Stackelberg games with jump-diffusion processes and related forward-backward stochastic differential equations
Global solutions of stochastic Stackelberg differential games under convex control constraint
A necessary condition for optimal control of~initial coupled forward-backward stochastic differential equations with~partial information
A maximum principle for fully coupled forward-backward stochastic control systems with terminal state constraints
A note on FBSDE characterization of mean exit times
Forward-backward stochastic differential equations with monotone functionals and mean field games with common noise
Controlled reflected SDEs and Neumann problem for backward SPDEs
An exploration of \(L^p\)-theory for forward-backward stochastic differential equations with random coefficients on small durations
Risk-sensitive mean field games via the stochastic maximum principle
Backward-forward linear-quadratic mean-field games with major and minor agents
Forward-backward stochastic differential equations on infinite horizon and quasilinear elliptic PDEs
Terminal-dependent statistical inference for the integral form of FBSDE
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
On well-posedness of forward-backward SDEs -- a unified approach
Stochastic differential games for fully coupled FBSDEs with jumps
Multiplicative stochastic systems: optimization and analysis
Stochastic optimal control and forward-backward stochastic differential equations
Forward-backward SDEs driven by Lévy process in stopping time duration
Infinite horizon optimal control of mean-field forward-backward delayed systems with Poisson jumps
Well-posedness of fully coupled linear forward-backward stochastic differential equations
Linear-quadratic partially observed forward-backward stochastic differential games and its application in finance
\(L^p\) estimates for fully coupled FBSDEs with jumps
The optimal control related to Riemannian manifolds and the viscosity solutions to Hamilton-Jacobi-Bellman equations
Solvability for a class of abstract two-point boundary value problems derived from optimal control
On a class of forward-backward stochastic differential systems in infinite dimensions
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
Forward-backward stochastic differential equation with subdifferential operator and associated variational inequality
Dynamic optimization of large-population systems with partial information
An optimal control problem for linear SDE of mean-field type with terminal constraint and partial information
A note on ``Problem of eigenvalues of stochastic Hamiltonian systems with boundary conditions

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