Comparison theorems for forward backward SDEs

DOI10.1016/J.SPL.2008.09.011zbMATH Open1157.60060OpenAlexW1991967907MaRDI QIDQ1004255FDOQ1004255

Authors: Mingyu Xu, Zhen Wu 

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

zbMATH Keywords

duality technique

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Cites Work

• Solving forward-backward stochastic differential equations explicitly -- a four step scheme
• Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control
• Backward Stochastic Differential Equations in Finance
• 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
• Title not available (Why is that?)
• The comparison theorem of FBSDE

Cited In (9)

• Future expectations modeling, random coefficient forward-backward stochastic differential equations, and stochastic viscosity solutions
• On non-Markovian forward-backward SDEs and backward stochastic PDEs
• Comparison theorem for distribution-dependent neutral SFDEs
• Linked recursive preferences and optimality
• A note on FBSDE characterization of mean exit times
• Theory of forward backward stochastic differential equations and its applications
• On well-posedness of forward-backward SDEs -- a unified approach
• Functional inequalities for forward and backward diffusions
• Backward stochastic \(H_2 / H_{\infty}\) control: infinite horizon case

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