Forward-backward stochastic differential equations and their applications
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Publication:1294779
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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- Fully coupled forward-backward stochastic differential equations on Markov chains
- A probabilistic method for numerical solution of quasi-linear parabolic equations
- Linear-quadratic-Gaussian mean-field-game with partial observation and common noise
- A global stochastic maximum principle for fully coupled forward-backward stochastic systems
- Euler-Lagrange equations of stochastic differential games: application to a game of a productive asset
- 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
- One order numerical scheme for forward-backward stochastic differential equations
- Dynamic programming principle and Hamilton-Jacobi-Bellman equation under nonlinear expectation
- 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
- Stochastic differential game in high frequency market
- Dual method for continuous-time Markowitz's problems with nonlinear wealth equations
- Stochastic \(L^1\)-optimal control via forward and backward sampling
- High order numerical schemes for second-order FBSDEs with applications to stochastic optimal control
- On the solvability of infinite horizon forward-backward stochastic differential equations with absorption coefficients
- An efficient gradient projection method for stochastic optimal control problems
- On a coupled SDE-PDE system modeling acid-mediated tumor invasion
- Completeness of security markets and backward stochastic differential equations with unbounded coefficients
- An FBSDE approach to American option pricing with an interacting particle method
- Optimal control of diffusion coefficients via decoupling fields
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- Risk-sensitive mean field games via the stochastic maximum principle
- Small-time solvability of a flow of forward-backward stochastic differential equations
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- An exploration of \(L^p\)-theory for forward-backward stochastic differential equations with random coefficients on small durations
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- \(L^p\)-error estimates for numerical schemes for solving certain kinds of backward stochastic differential equations
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- Solutions for functional fully coupled forward-backward stochastic differential equations
- Robust Mean Field Linear-Quadratic-Gaussian Games with Unknown $L^2$-Disturbance
- Nonparametric estimation for FBSDEs models with applications in finance
- Convergence error estimates of the Crank-Nicolson scheme for solving decoupled FBSDEs
- Equilibrium strategies for time-inconsistent stochastic switching systems
- Controllability of stochastic game-based control systems
- Forward-backward stochastic differential equations on infinite horizon and quasilinear elliptic PDEs
- Differentiability of BSVIEs and dynamic capital allocations
- Generalized Hamilton-Jacobi-Bellman equations with Dirichlet boundary condition and stochastic exit time optimal control problem
- Probabilistic counterparts of nonlinear parabolic partial differential equation systems
- Optimal control problems of forward-backward stochastic Volterra integral equations
- Dynamic optimization of large-population systems with partial information
- A first order semi-discrete algorithm for backward doubly stochastic differential equations
- Representation theorems for generators of backward stochastic differential equations and their applications
- Stochastic optimal control problem with infinite horizon driven by \(G\)-Brownian motion
- Robust mean field social control problems with applications in analysis of opinion dynamics
- Linear-quadratic mean field games
- Stochastic maximum principle for controlled backward delayed system via advanced stochastic differential equation
- On European option pricing under partial information.
- Backward stochastic differential equations with jumps and their actuarial and financial applications. BSDEs with jumps
- Singular forward-backward stochastic differential equations and emissions derivatives
- An interpolated stochastic algorithm for quasi-linear PDEs
- Approximate solvability of forward-backward stochastic differential equations
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- Differentiability of backward stochastic differential equations in Hilbert spaces with monotone generators
- Harmonic analysis of stochastic equations and backward stochastic differential equations
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- Weak existence and uniqueness for forward-backward SDEs
- Utility indifference valuation for non-smooth payoffs with an application to power derivatives
- Error expansion for the discretization of backward stochastic differential equations
- A stochastic approach to a new type of parabolic variational inequalities
- A maximum principle for optimal control problem of fully coupled forward-backward stochastic systems with partial information
- Forward-backward stochastic differential equations and quasilinear parabolic PDEs
- Mean field games with a dominating player
- A numerical scheme for BSDEs
- On non-Markovian forward-backward SDEs and backward stochastic PDEs
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- Dynamic programming principle and associated Hamilton-Jacobi-Bellman equation for stochastic recursive control problem with non-Lipschitz aggregator
- Some recent aspects of differential game theory
- A probabilistic approach to mean field games with major and minor players
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- Generalized stochastic differential utility and preference for information
- Nonlinear Kolmogorov equations in infinite dimensional spaces: the backward stochastic differential equations approach and applications to optimal control
- Numerical stability analysis of the Euler scheme for BSDEs
- A generalized Neyman-Pearson Lemma for \(g\)-probabilities
- Approximation of the solution of the backward stochastic differential equation. Small noise, large sample and high frequency cases
- Solutions to general forward-backward doubly stochastic differential equations
- Optimal switching at Poisson random intervention times
- A comparison result for FBSDE with applications to decisions theory
- A stochastic representation for mean curvature type geometric flows
- Necessary and sufficient conditions of optimality for optimal control problem with initial and terminal costs
- Optimal control of harvesting in a stochastic metapopulation model
- Forward and backward filtering based on backward stochastic differential equations
- A type of time-symmetric forward-backward stochastic differential equations
- Some results on the controllability of forward stochastic heat equations with control on the drift
- Markovian forward-backward stochastic differential equations and stochastic flows
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