Comparison theorems for forward backward SDEs
From MaRDI portal
Publication:1004255
DOI10.1016/j.spl.2008.09.011zbMath1157.60060OpenAlexW1991967907MaRDI QIDQ1004255
Publication date: 2 March 2009
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2008.09.011
Related Items (7)
Future Expectations Modeling, Random Coefficient Forward–Backward Stochastic Differential Equations, and Stochastic Viscosity Solutions ⋮ Backward stochastic \(H_2 / H_{\infty}\) control: infinite horizon case ⋮ Unnamed Item ⋮ On non-Markovian forward-backward SDEs and backward stochastic PDEs ⋮ A note on FBSDE characterization of mean exit times ⋮ LINKED RECURSIVE PREFERENCES AND OPTIMALITY ⋮ On well-posedness of forward-backward SDEs -- a unified approach
Cites Work
- Unnamed Item
- Solving forward-backward stochastic differential equations explicitly -- a four step scheme
- Comparison theorems for stochastic differential equations in finite and infinite dimensions
- Hedging options for a large investor and forward-backward SDE's
- Solution of forward-backward stochastic differential equations
- The comparison theorem of FBSDE
- Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control
- Backward Stochastic Differential Equations in Finance
This page was built for publication: Comparison theorems for forward backward SDEs