Forward-backward stochastic differential equations and their applications
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comparison theoremFeynman-Kac formulaforward-backward stochastic differential equationAmerican optionscontinuation methodBlack-Scholes formulafour-step-scheme
Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)
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- CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION
- On approximation of the backward stochastic differential equation
- Backward stochastic differential equations. From linear to fully nonlinear theory
- Dynamic optimization of large-population systems with partial information
- A first order semi-discrete algorithm for backward doubly stochastic differential equations
- Forward-backward stochastic differential equations and PDE with gradient dependent second order coefficients
- On stochastic logistic equation with Markovian switching and white noise
- Forward-backward stochastic differential equations driven by \(G\)-Brownian motion under weakly coupling condition
- Linear-quadratic mean field games
- On quasilinear parabolic systems and FBSDEs of quadratic growth
- A transformation method to study the solvability of fully coupled FBSDEs
- Representation theorems for generators of backward stochastic differential equations and their applications
- Linear-Quadratic Optimal Controls for Stochastic Volterra Integral Equations: Causal State Feedback and Path-Dependent Riccati Equations
- Linear-quadratic stochastic two-person nonzero-sum differential games: open-loop and closed-loop Nash equilibria
- Forward-backward systems for expected utility maximization
- A partially observed non-zero sum differential game of forward-backward stochastic differential equations and its application in finance
- Fully coupled forward-backward stochastic differential equations on Markov chains
- Stochastic optimal control problem with infinite horizon driven by \(G\)-Brownian motion
- On optimal control of forward-backward stochastic differential equations
- Robust mean field social control problems with applications in analysis of opinion dynamics
- Stochastic maximum principle for controlled backward delayed system via advanced stochastic differential equation
- On European option pricing under partial information.
- Dynamic investment strategies to reaction-diffusion systems based upon stochastic differential utilities
- A probabilistic method for numerical solution of quasi-linear parabolic equations
- Pricing renewable energy certificates with a Crank-Nicolson Lagrange-Galerkin numerical method
- Forward-backward stochastic differential equations with nonsmooth coefficients.
- Linear-quadratic-Gaussian mean-field-game with partial observation and common noise
- Near-optimal control for stochastic recursive problems
- A multi-step algorithm for BSDEs based on a predictor-corrector scheme and least-squares Monte Carlo
- Backward stochastic differential equations with jumps and their actuarial and financial applications. BSDEs with jumps
- Transposition method for backward stochastic evolution equations revisited, and its application
- On solutions of a class of infinite horizon FBSDEs
- Well-posedness and regularity of backward stochastic Volterra integral equations
- A maximum principle for controlled time-symmetric forward-backward doubly stochastic differential equation with initial-terminal state constraints
- Singular forward-backward stochastic differential equations and emissions derivatives
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- Numerical solution of a nonlinear PDE model for pricing renewable energy certificates (RECs)
- One order numerical scheme for forward-backward stochastic differential equations
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- A global stochastic maximum principle for fully coupled forward-backward stochastic systems
- \(L^p\)-error estimates for numerical schemes for solving certain kinds of mean-field backward stochastic differential equations
- The maximum principle for global solutions of stochastic Stackelberg differential games
- Mean field models to regulate carbon emissions in electricity production
- Forward-backward stochastic differential equation: A useful tool for mathematical finance and other related fields
- Decoupling on the Wiener space, related Besov spaces, and applications to BSDEs
- Richardson extrapolation of the Crank-Nicolson scheme for backward stochastic differential equations
- Pointwise second-order necessary conditions for stochastic optimal controls. II: The general case
- Numerical approach to asset pricing models with stochastic differential utility
- An interpolated stochastic algorithm for quasi-linear PDEs
- Eigenvalues of stochastic Hamiltonian systems with boundary conditions and its application
- Optimal position targeting via decoupling fields
- A maximum principle for fully coupled controlled forward-backward stochastic difference systems of mean-field type
- Stochastic differential games: a sampling approach via FBSDEs
- Near-optimal control problems for forward-backward regime-switching systems
- Backward-forward linear-quadratic mean-field games with major and minor agents
- Dynamic optimal contract under parameter uncertainty with risk-averse agent and principal
- Forward-backward SDEs with discontinuous coefficients
- Malliavin calculus for backward stochastic differential equations and application to numerical solutions
- Probabilistic approach to mean field games and mean field type control problems with multiple populations
- Dynamic programming principle and Hamilton-Jacobi-Bellman equation under nonlinear expectation
- \(L^p\)-theory of forward-backward stochastic differential equations
- Stochastic differential game in high frequency market
- An introduction to optimal control of FBSDE with incomplete information
- Necessary conditions for optimal control of forward-backward stochastic systems with random jumps
- Jiongmin Yong's mathematical works in recent thirty years
- Mean field linear-quadratic control: uniform stabilization and social optimality
- Approximate solvability of forward-backward stochastic differential equations
- Comparison theorems for some backward stochastic Volterra integral equations
- Differentiability of backward stochastic differential equations in Hilbert spaces with monotone generators
- Optimal risk transfer and investment policies based upon stochastic differential utilities
- Stochastic ordering by \(g\)-expectations
- Dual method for continuous-time Markowitz's problems with nonlinear wealth equations
- A Characterization of Approximate Solutions of Multiobjective Stochastic Optimal Control Problems
- Harmonic analysis of stochastic equations and backward stochastic differential equations
- Utility indifference valuation for non-smooth payoffs with an application to power derivatives
- Weak existence and uniqueness for forward-backward SDEs
- Relationship between backward and forward linear-quadratic mean-field-game with terminal constraint and optimal asset allocation for insurers and pension funds
- Sensitivity with respect to the yield curve: duration in a stochastic setting
- Infinite horizon forward-backward SDEs and open-loop optimal controls for stochastic linear-quadratic problems with random coefficients
- Error expansion for the discretization of backward stochastic differential equations
- A probabilistic representation of the solution of some quasi-linear PDE with a divergence form operator. Application to existence of weak solutions of FBSDE.
- Auxiliary SDEs for homogenization of quasilinear PDEs with periodic coefficients.
- Some results on reflected forward-backward stochastic differential equations
- On the existence and uniqueness of solutions to forward backward stochastic differential equations driven by G-Brownian motion
- A maximum principle for optimal control problem of fully coupled forward-backward stochastic systems with partial information
- Dynamics of solvency risk in life insurance liabilities
- A forward-backward SDE approach to affine models
- A forward-backward probabilistic algorithm for the incompressible Navier-Stokes equations
- Linear-quadratic generalized Stackelberg games with jump-diffusion processes and related forward-backward stochastic differential equations
- Leader-follower mean field LQ games: a direct method
- A stochastic approach to a new type of parabolic variational inequalities
- Infinite horizon reflected backward stochastic differential equations with Markov chains
- Stochastic calculus with respect to \(G\)-Brownian motion viewed through rough paths
- Envelope viscosity solutions of first- and second-order PDEs with \(u\)-dependence
- Forward-backward stochastic differential equations and quasilinear parabolic PDEs
- Linear-quadratic Stackelberg game for mean-field backward stochastic differential system and application
- Fully coupled mean-field forward-backward stochastic differential equations and stochastic maximum principle
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