Forward-backward stochastic differential equations and their applications

DOI10.1007/978-3-540-48831-6MaRDI QIDQ1294779zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

American optionsBlack-Scholes formulacomparison theoremcontinuation methodFeynman-Kac formulaforward-backward stochastic differential equationfour-step-scheme

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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• A numerical scheme for BSDEs
• Stochastic \(L^1\)-optimal control via forward and backward sampling
• On a coupled SDE-PDE system modeling acid-mediated tumor invasion
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• On the homotopy analysis method for backward/forward-backward stochastic differential equations
• On optimal control of forward-backward stochastic differential equations
• Non-zero sum differential games of anticipated forward-backward stochastic differential delayed equations under partial information and application
• Linear-quadratic stochastic two-person nonzero-sum differential games: open-loop and closed-loop Nash equilibria
• General linear forward and backward stochastic difference equations with applications
• Linear quadratic mean field Stackelberg differential games
• Fully coupled mean-field forward-backward stochastic differential equations and stochastic maximum principle
• Fully coupled forward-backward stochastic differential equations on Markov chains
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• Stochastic differential game in high frequency market
• A consistent stable numerical scheme for a nonlinear option pricing model in illiquid markets
• On the existence and uniqueness of solutions to FBSDEs in a non-degenerate case.
• 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
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• Mean field linear-quadratic control: uniform stabilization and social optimality
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• On a Monte Carlo scheme for some linear stochastic partial differential equations
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• A maximum principle for fully coupled controlled forward-backward stochastic difference systems of mean-field type
• Solving BSDEs based on novel multi-step schemes and multilevel Monte Carlo
• Backward stochastic differential equations and backward stochastic Volterra integral equations with anticipating generators
• Solvability of infinite horizon McKean-Vlasov FBSDEs in mean field control problems and games
• Pricing renewable energy certificates with a Crank-Nicolson Lagrange-Galerkin numerical method
• On forward-backward stochastic differential equations in a domination-monotonicity framework
• A forward-backward probabilistic algorithm for the incompressible Navier-Stokes equations
• A forward-backward SDE from the 2D nonlinear stochastic heat equation
• Coupled FBSDEs with measurable coefficients and its application to parabolic PDEs
• Mean field models to regulate carbon emissions in electricity production
• Backward doubly stochastic Volterra integral equations and their applications
• Optimal position targeting via decoupling fields
• Overcoming the curse of dimensionality in the approximative pricing of financial derivatives with default risks
• The risk-sensitive maximum principle for controlled forward-backward stochastic differential equations
• Exact controllability of stochastic differential equations with memory
• The Skorokhod embedding problem for inhomogeneous diffusions
• Linear-quadratic mixed Stackelberg-Nash stochastic differential game with major-minor agents
• Linear-quadratic generalized Stackelberg games with jump-diffusion processes and related forward-backward stochastic differential equations
• Mixed linear quadratic stochastic differential leader-follower game with input constraint
• Social optima of backward linear-quadratic-Gaussian mean-field teams
• Linear quadratic control of backward stochastic differential equation with partial information
• Numerical solution of a nonlinear PDE model for pricing renewable energy certificates (RECs)
• A necessary condition for optimal control of~initial coupled forward-backward stochastic differential equations with~partial information
• A maximum principle for fully coupled forward-backward stochastic control systems with terminal state constraints
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• Dual method for continuous-time Markowitz's problems with nonlinear wealth equations
• Backward stochastic Volterra integral equations -- representation of adapted solutions
• Stochastic differential games: a sampling approach via FBSDEs
• An exploration of \(L^p\)-theory for forward-backward stochastic differential equations with random coefficients on small durations
• First and second order necessary optimality conditions for controlled stochastic evolution equations with control and state constraints
• Forward-backward SDEs with distributional coefficients
• Risk-sensitive mean field games via the stochastic maximum principle
• Backward-forward linear-quadratic mean-field games with major and minor agents
• A branching particle system approximation for a class of FBSDEs
• Linear-quadratic Stackelberg game for mean-field backward stochastic differential system and application
• Forward-backward stochastic differential equations on infinite horizon and quasilinear elliptic PDEs
• Terminal-dependent statistical inference for the integral form of FBSDE
• Linear quadratic optimal control problems for mean-field backward stochastic differential equations
• Machine learning approximation algorithms for high-dimensional fully nonlinear partial differential equations and second-order backward stochastic differential equations
• A partially observed non-zero sum differential game of forward-backward stochastic differential equations and its application in finance
• Solutions for functional fully coupled forward-backward stochastic differential equations
• Euler-Lagrange equations of stochastic differential games: application to a game of a productive asset
• On well-posedness of forward-backward SDEs -- a unified approach
• Stochastic differential games for fully coupled FBSDEs with jumps
• Transposition method for backward stochastic evolution equations revisited, and its application
• Optimal control problems of forward-backward stochastic Volterra integral equations
• Stochastic calculus with respect to \(G\)-Brownian motion viewed through rough paths
• Convergence error estimates of the Crank-Nicolson scheme for solving decoupled FBSDEs
• Optimal risk transfer and investment policies based upon stochastic differential utilities
• A probabilistic method for numerical solution of quasi-linear parabolic equations
• Optimal compensation with hidden action and lump-sum payment in a continuous-time model
• A maximum principle for general backward stochastic differential equation

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