Linear forward-backward stochastic differential equations
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Cited in
(45)- On quasilinear parabolic systems and FBSDEs of quadratic growth
- Control of McKean-Vlasov dynamics versus mean field games
- Linear-quadratic stochastic two-person nonzero-sum differential games: open-loop and closed-loop Nash equilibria
- Stackelberg stochastic differential game with asymmetric noisy observations
- Singular Perturbation of Zero-Sum Linear-Quadratic Stochastic Differential Games
- Forward-backward stochastic differential equations with nonsmooth coefficients.
- Stochastic minimum-energy control
- Eigenvalues of stochastic Hamiltonian systems with boundary conditions and its application
- Adaptive importance sampling in least-squares Monte Carlo algorithms for backward stochastic differential equations
- A forward-backward SDE approach to affine models
- Linear backward stochastic differential equations with Gaussian Volterra processes
- Forward-backward SDEs and the CIR model
- An extended mean field game for storage in smart grids
- Uniqueness for linear-quadratic mean field games with common noise
- Linear Backward Stochastic Differential Equations of Descriptor Type: Regular Systems
- Backward-forward linear-quadratic mean-field Stackelberg games
- Explicit solution to delayed forward and backward stochastic differential equations
- A Stochastic Linear Quadratic Optimal Control Problem with Generalized Expectation
- Partially observed mean-field Stackelberg stochastic differential game with two followers
- General linear forward and backward stochastic difference equations with applications
- Partial Approximate Controllability for Linear Stochastic Control Systems
- Explicit solutions of quadratic FBSDEs arising from quadratic term structure models
- Robust backward linear-quadratic differential game and team: a soft-constraint analysis
- A Stackelberg game of backward stochastic differential equations with applications
- Small-time solvability of a flow of forward-backward stochastic differential equations
- Forward-backward stochastic differential equations generated by Bernstein diffusions
- Optimal control of harvesting in a stochastic metapopulation model
- Linear Skorohod stochastic differential equations
- \(L^p\)-estimate for linear forward-backward stochastic differential equations
- Solution to the forward and backward stochastic difference equations with asymmetric information and application
- A linear-quadratic partially observed Stackelberg stochastic differential game with application
- An FBSDE approach to market impact games with stochastic parameters
- On the existence and uniqueness of solutions to FBSDEs in a non-degenerate case.
- scientific article; zbMATH DE number 1907999 (Why is no real title available?)
- A Stackelberg game of backward stochastic differential equations with partial information
- Quasi-linear PDEs and forward-backward stochastic differential equations: weak solutions
- Existence of global solutions for multi-dimensional coupled FBSDEs with diagonally quadratic generators
- Linear-quadratic mixed Stackelberg-Nash stochastic differential game with major-minor agents
- Social optima in leader-follower mean field linear quadratic control
- A pricing option approach based on backward stochastic differential equation theory
- Linear forward-backward stochastic differential equations with random coefficients
- Explicit solution to forward and backward stochastic differential equations with state delay and its application to optimal control
- A convolution method for numerical solution of backward stochastic differential equations
- On the solvability of a system of forward-backward linear equations with unbounded operator coefficients
- Path dependent Feynman-Kac formula for forward backward stochastic Volterra integral equations
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