Forward-backward stochastic differential equations and their applications
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Publication:1294779
DOI10.1007/978-3-540-48831-6zbMATH Open0927.60004OpenAlexW659339155MaRDI QIDQ1294779FDOQ1294779
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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- Backward stochastic partial differential equations in infinite dimensions
- Backward doubly stochastic Volterra integral equations and their applications
- Completeness of security markets and backward stochastic differential equations with unbounded coefficients
- Controllability of stochastic game-based control systems
- One order numerical scheme for forward-backward stochastic differential equations
- A maximum principle for fully coupled controlled forward-backward stochastic difference systems of mean-field type
- Stochastic differential games: a sampling approach via FBSDEs
- Linear-quadratic stochastic two-person nonzero-sum differential games: open-loop and closed-loop Nash equilibria
- An FBSDE approach to American option pricing with an interacting particle method
- Stochastic maximum principle, dynamic programming principle, and their relationship for fully coupled forward-backward stochastic controlled systems
- Linear-quadratic-Gaussian mean-field-game with partial observation and common noise
- Terminal-Dependent Statistical Inferences for FBSDE
- Forward-backward stochastic differential equations on infinite horizon and quasilinear elliptic PDEs
- Risk-sensitive mean field games via the stochastic maximum principle
- Stochastic \(L^1\)-optimal control via forward and backward sampling
- Forward-backward stochastic partial differential equations with non-monotonic coefficients
- Probabilistic counterparts of nonlinear parabolic partial differential equation systems
- Backward-forward linear-quadratic mean-field games with major and minor agents
- Fully coupled forward-backward stochastic differential equations on Markov chains
- Asymptotic expansion approach in finance
- Equilibrium strategies for time-inconsistent stochastic switching systems
- Nonparametric estimation for FBSDEs models with applications in finance
- Small-time solvability of a flow of forward-backward stochastic differential equations
- Subgame-perfect equilibrium strategies for time-inconsistent recursive stochastic control problems
- \(L^p\)-error estimates for numerical schemes for solving certain kinds of backward stochastic differential equations
- Stochastic Burgers PDEs with random coefficients and a generalization of the Cole-Hopf transformation
- A probabilistic method for numerical solution of quasi-linear parabolic equations
- Euler-type schemes for weakly coupled forward-backward stochastic differential equations and optimal convergence analysis
- Forward-backward SDEs with distributional coefficients
- Backward stochastic Volterra integral equations -- a brief survey
- An exploration of \(L^p\)-theory for forward-backward stochastic differential equations with random coefficients on small durations
- General linear forward and backward stochastic difference equations with applications
- High order numerical schemes for second-order FBSDEs with applications to stochastic optimal control
- Optimal control problems of forward-backward stochastic Volterra integral equations
- On the solvability of infinite horizon forward-backward stochastic differential equations with absorption coefficients
- On a Monte Carlo scheme for some linear stochastic partial differential equations
- A global stochastic maximum principle for fully coupled forward-backward stochastic systems
- Linear-quadratic mixed Stackelberg-Nash stochastic differential game with major-minor agents
- On the homotopy analysis method for backward/forward-backward stochastic differential equations
- Dual method for continuous-time Markowitz's problems with nonlinear wealth equations
- Solutions for functional fully coupled forward-backward stochastic differential equations
- Deferred Correction Methods for Forward Backward Stochastic Differential Equations
- Backward stochastic Volterra integral equations -- representation of adapted solutions
- Stochastic differential game in high frequency market
- An efficient gradient projection method for stochastic optimal control problems
- Robust Mean Field Linear-Quadratic-Gaussian Games with Unknown $L^2$-Disturbance
- Optimal control of diffusion coefficients via decoupling fields
- Euler-Lagrange equations of stochastic differential games: application to a game of a productive asset
- Dynamic programming principle and Hamilton-Jacobi-Bellman equation under nonlinear expectation
- A maximum principle for controlled time-symmetric forward-backward doubly stochastic differential equation with initial-terminal state constraints
- Differentiability of BSVIEs and dynamic capital allocations
- Convergence error estimates of the Crank-Nicolson scheme for solving decoupled FBSDEs
- Singular forward-backward stochastic differential equations and emissions derivatives
- A stochastic representation for mean curvature type geometric flows
- Verification theorems for stochastic optimal control problems via a time dependent Fukushima--Dirichlet decomposition
- Some recent aspects of differential game theory
- Perturbative expansion technique for non-linear FBSDEs with interacting particle method
- Approximation of the solution of the backward stochastic differential equation. Small noise, large sample and high frequency cases
- Markovian forward-backward stochastic differential equations and stochastic flows
- Harmonic analysis of stochastic equations and backward stochastic differential equations
- A maximum principle for optimal control problem of fully coupled forward-backward stochastic systems with partial information
- Forward-backward stochastic differential equations with mixed initial-terminal conditions
- Kalman-Bucy filtering equations of forward and backward stochastic systems and applications to recursive optimal control problems
- Solution of forward-backward stochastic differential equations
- Optimal contracts in continuous-time models
- Linear-quadratic time-inconsistent mean field games
- A consistent stable numerical scheme for a nonlinear option pricing model in illiquid markets
- Optimal control of harvesting in a stochastic metapopulation model
- On the existence and uniqueness of solutions to FBSDEs in a non-degenerate case.
- Utility indifference valuation for non-smooth payoffs with an application to power derivatives
- Weak existence and uniqueness for forward-backward SDEs
- A probabilistic representation of the solution of some quasi-linear PDE with a divergence form operator. Application to existence of weak solutions of FBSDE.
- Probabilistic methods for the incompressible Navier-Stokes equations with space periodic conditions
- An interpolated stochastic algorithm for quasi-linear PDEs
- Option pricing with an illiquid underlying asset market
- Simulation of BSDEs by Wiener chaos expansion
- On the viscosity solutions of a stochastic differential utility problem
- Solutions to general forward-backward doubly stochastic differential equations
- Optimal reinsurance/investment problems for general insurance models
- The Skorokhod embedding problem for inhomogeneous diffusions
- On non-Markovian forward-backward SDEs and backward stochastic PDEs
- Error expansion for the discretization of backward stochastic differential equations
- Probabilistic approach to viscosity solutions of the Cauchy problems for systems if fully nonlinear parabolic equations
- Mean field games with a dominating player
- Outperformance portfolio optimization via the equivalence of pure and randomized hypothesis testing
- Stochastic optimal control of quasi non-integrable Hamiltonian systems with stochastic maximum principle
- Singular FBSDEs and scalar conservation laws driven by diffusion processes
- Nonlinear Kolmogorov equations in infinite dimensional spaces: the backward stochastic differential equations approach and applications to optimal control
- Differentiability of backward stochastic differential equations in Hilbert spaces with monotone generators
- \(L^p\) estimates for fully coupled FBSDEs with jumps
- Approximate solvability of forward-backward stochastic differential equations
- Backward stochastic differential equations with jumps and their actuarial and financial applications. BSDEs with jumps
- Representation of solutions to BSDEs associated with a degenerate FSDE
- A maximum principle for fully coupled forward-backward stochastic control systems with terminal state constraints
- A stochastic approach to a new type of parabolic variational inequalities
- Numerical stability analysis of the Euler scheme for BSDEs
- Dynamic optimization of large-population systems with partial information
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