Forward-backward stochastic differential equations and their applications
DOI10.1007/978-3-540-48831-6zbMATH Open0927.60004OpenAlexW659339155MaRDI QIDQ1294779FDOQ1294779
Authors: Jin Ma, Jiongmin Yong
Publication date: 12 August 1999
Published in: Lecture Notes in Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-540-48831-6
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- A maximum principle for controlled time-symmetric forward-backward doubly stochastic differential equation with initial-terminal state constraints
- Decoupling on the Wiener space, related Besov spaces, and applications to BSDEs
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- A maximum principle for fully coupled controlled forward-backward stochastic difference systems of mean-field type
- Stochastic differential games: a sampling approach via FBSDEs
- Backward-forward linear-quadratic mean-field games with major and minor agents
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- Convergence error estimates of the Crank-Nicolson scheme for solving decoupled FBSDEs
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- Differentiability of BSVIEs and dynamic capital allocations
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- Convergence of Recent Multistep Schemes for a Forward-Backward Stochastic Differential Equation
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