Open problems on backward stochastic differential equations
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backward stochastic differential equationsBSDEscontrol theorymathematical financeopen problemssurvey
Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Financial applications of other theories (91G80) Research exposition (monographs, survey articles) pertaining to biology (92-02) Optimal stochastic control (93E20)
The paper shortly reviews recent results on the theory of backward stochastic differential equations and points out major open problems which are of high mathematical interest and have applications in control theory and in mathematical finance.NEWLINENEWLINEFor the entire collection see [Zbl 0958.00050].
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Cited in
(44)- The stochastic maximum principle in singular optimal control with recursive utilities
- A class of globally solvable Markovian quadratic BSDE systems and applications
- Global adapted solution of one-dimensional backward stochastic Riccati equations, with application to the mean-variance hedging.
- Solvability of a class of mean-field BSDEs with quadratic growth
- Radner equilibrium and systems of quadratic BSDEs with discontinuous generators
- Indefinite stochastic linear-quadratic optimal control problems with random coefficients: closed-loop representation of open-loop optimal controls
- Pseudo-Markovian viscosity solutions of fully nonlinear degenerate PPDEs
- Stochastic global maximum principle for optimization with recursive utilities
- Second-order necessary conditions for optimal control with recursive utilities
- A second-order maximum principle for singular optimal controls with recursive utilities of stochastic delay systems
- Weak solution for a class of fully nonlinear stochastic Hamilton-Jacobi-Bellman equations
- Backward doubly stochastic equations with jumps and comparison theorems
- Optimal control for stochastic delay evolution equations
- The stochastic linear quadratic optimal control problem in Hilbert spaces: a polynomial chaos approach
- Solvability Conditions for Indefinite Linear Quadratic Optimal Stochastic Control Problems and Associated Stochastic Riccati Equations
- A global stochastic maximum principle for fully coupled forward-backward stochastic systems
- Connection between MP and DPP for stochastic recursive optimal control problems: viscosity solution framework in the general case
- A general maximum principle for optimal control of forward-backward stochastic systems
- The existence and uniqueness of viscosity solution to a kind of Hamilton-Jacobi-Bellman equation
- Linear-quadratic optimal control for backward stochastic differential equations with random coefficients
- Existence and uniqueness for non-Markovian triangular quadratic BSDEs
- A Global Stochastic Maximum Principle for Forward-Backward Stochastic Control Systems with Quadratic Generators
- Maximum principle for stochastic recursive optimal control problem under model uncertainty
- Backward stochastic Riccati equation with jumps associated with stochastic linear quadratic optimal control with jumps and random coefficients
- Dynamic programming for general linear quadratic optimal stochastic control with random coefficients
- Stochastic maximum principle, dynamic programming principle, and their relationship for fully coupled forward-backward stochastic controlled systems
- A global maximum principle for optimal control of general mean-field forward-backward stochastic systems with jumps
- A modified method of successive approximations for stochastic recursive optimal control problems
- Multi-dimensional backward stochastic differential equations of diagonally quadratic generators
- Maximum Principle for Optimal Control of Stochastic Evolution Equations with Recursive Utilities
- Multi-dimensional backward stochastic differential equations of diagonally quadratic generators: the general result
- On quasilinear parabolic systems and FBSDEs of quadratic growth
- The Global Maximum Principle for Progressive Optimal Control of Partially Observed Forward-Backward Stochastic Systems with Random Jumps
- Singular optimal control problems with recursive utilities of mean-field type
- Backward doubly stochastic differential equations and SPDEs with quadratic growth
- The relationship between maximum principle and dynamic programming principle for stochastic recursive control problem with random coefficients
- A global stochastic maximum principle for mean-field forward-backward stochastic control systems with quadratic generators
- Probabilistic interpretation for a system of quasilinear parabolic partial differential-algebraic equations: the classical solution
- Multi-dimensional non-Markovian backward stochastic differential equations of interactively quadratic generators
- Mean-field stochastic linear quadratic control problem with random coefficients
- Mean-field backward stochastic differential equations and nonlocal PDEs with quadratic growth
- Forward-backward stochastic differential equation: A useful tool for mathematical finance and other related fields
- Anticipated backward stochastic differential equations with quadratic growth: multidimensional results
- Probabilistic interpretation for a system of quasilinear parabolic partial differential equation combined with algebra equations
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