Forward-backward stochastic differential equations and their applications
From MaRDI portal
Publication:1294779
DOI10.1007/978-3-540-48831-6zbMath0927.60004OpenAlexW659339155MaRDI QIDQ1294779
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
comparison theoremcontinuation methodAmerican optionsFeynman-Kac formulaforward-backward stochastic differential equationBlack-Scholes formulafour-step-scheme
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Research exposition (monographs, survey articles) pertaining to probability theory (60-02)
Related Items
Nonlinear Kolmogorov equations in infinite dimensional spaces: the backward stochastic differential equations approach and applications to optimal control, Representation theorems for backward stochastic differential equations, On European option pricing under partial information., Linear forward-backward stochastic differential equations with random coefficients, Forward-backward stochastic differential equations with nonsmooth coefficients., Problem of eigenvalues of stochastic Hamiltonian systems with boundary conditions., Utility indifference valuation for non-smooth payoffs with an application to power derivatives, Linear-quadratic-Gaussian mean-field-game with partial observation and common noise, Stochastic \(L^1\)-optimal control via forward and backward sampling, Linear-quadratic mean field games, Optimal reinsurance/investment problems for general insurance models, Auxiliary SDEs for homogenization of quasilinear PDEs with periodic coefficients., A probabilistic approach to mean field games with major and minor players, On a coupled SDE-PDE system modeling acid-mediated tumor invasion, Harmonic analysis of stochastic equations and backward stochastic differential equations, Mean field games with a dominating player, Optimal switching at Poisson random intervention times, Numerical approach to asset pricing models with stochastic differential utility, Verification theorems for stochastic optimal control problems via a time dependent Fukushima--Dirichlet decomposition, Forward-backward evolution equations and applications, Weak existence and uniqueness for forward-backward SDEs, Stochastic optimal control of quasi non-integrable Hamiltonian systems with stochastic maximum principle, On the solvability of infinite horizon forward-backward stochastic differential equations with absorption coefficients, Probabilistic approach to viscosity solutions of the Cauchy problems for systems if fully nonlinear parabolic equations, Markovian forward-backward stochastic differential equations and stochastic flows, Near-optimal control of stochastic recursive systems via viscosity solution, Four step scheme for general Markovian forward-backward SDEs, Outperformance portfolio optimization via the equivalence of pure and randomized hypothesis testing, Singular FBSDEs and scalar conservation laws driven by diffusion processes, On the homotopy analysis method for backward/forward-backward stochastic differential equations, Error expansion for the discretization of backward stochastic differential equations, A forward-backward SDE approach to affine models, Forward-backward systems for expected utility maximization, Euler-type schemes for weakly coupled forward-backward stochastic differential equations and optimal convergence analysis, Some results on the controllability of forward stochastic heat equations with control on the drift, A maximum principle for controlled time-symmetric forward-backward doubly stochastic differential equation with initial-terminal state constraints, Necessary conditions for optimal control of forward-backward stochastic systems with random jumps, On optimal control of forward-backward stochastic differential equations, A solvable continuous time dynamic principal-agent model, Singular forward-backward stochastic differential equations and emissions derivatives, A parallel four step domain decomposition scheme for coupled forward-backward stochastic differential equations, Comparison theorems for the multidimensional BDSDEs and applications, Maximum principle for differential games of forward-backward stochastic systems with applications, Non-zero sum differential games of anticipated forward-backward stochastic differential delayed equations under partial information and application, \(L^p\)-error estimates for numerical schemes for solving certain kinds of backward stochastic differential equations, 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, Forward-backward SDEs with random terminal time and applications to pricing special European-type options for a large investor, Fully coupled mean-field forward-backward stochastic differential equations and stochastic maximum principle, Fully coupled forward-backward stochastic differential equations on Markov chains, A dynamic equilibrium model of imperfectly integrated financial markets, A stochastic representation for mean curvature type geometric flows, A numerical scheme for BSDEs, Malliavin calculus for backward stochastic differential equations and application to numerical solutions, On weak solutions of forward-backward SDEs, One order numerical scheme for forward-backward stochastic differential equations, On stochastic logistic equation with Markovian switching and white noise, Optimal contracts in continuous-time models, Approximation of the solution of the backward stochastic differential equation. Small noise, large sample and high frequency cases, Stochastic differential game in high frequency market, Differentiability of backward stochastic differential equations in Hilbert spaces with monotone generators, Well-posedness and regularity of backward stochastic Volterra integral equations, On solutions of a class of infinite horizon FBSDEs, Stochastic optimal control via forward and backward stochastic differential equations and importance sampling, Option pricing with an illiquid underlying asset market, Jiongmin Yong's mathematical works in recent thirty years, Linear quadratic mean-field-game of backward stochastic differential systems, Forward backward SDEs in weak formulation, Mean field linear-quadratic control: uniform stabilization and social optimality, A consistent stable numerical scheme for a nonlinear option pricing model in illiquid markets, Dynamic investment strategies to reaction-diffusion systems based upon stochastic differential utilities, Some recent aspects of differential game theory, On the existence and uniqueness of solutions to FBSDEs in a non-degenerate case., Generalized stochastic differential utility and preference for information, An FBSDE approach to American option pricing with an interacting particle method, Perturbative expansion technique for non-linear FBSDEs with interacting particle method, A generalized Neyman-Pearson Lemma for \(g\)-probabilities, Backward stochastic Volterra integral equations -- a brief survey, Comparison theorems for some backward stochastic Volterra integral equations, On non-Markovian forward-backward SDEs and backward stochastic PDEs, Maximum principle for partially-observed optimal control of fully-coupled forward-backward stochastic systems, Backward stochastic dynamics on a filtered probability space, Numerical analysis and simulation of option pricing problems modeling illiquid markets, Infinite horizon forward-backward doubly stochastic differential equations and related SPDEs, Completeness of security markets and backward stochastic differential equations with unbounded coefficients, Stochastic ordering by \(g\)-expectations, On a Monte Carlo scheme for some linear stochastic partial differential equations, Recursive utility processes, dynamic risk measures and quadratic backward stochastic Volterra integral equations, Small-time solvability of a flow of forward-backward stochastic differential equations, A mixed linear quadratic optimal control problem with a controlled time horizon, Solutions to general forward-backward doubly stochastic differential equations, A maximum principle for fully coupled controlled forward-backward stochastic difference systems of mean-field type, A maximum principle for optimal control problem of fully coupled forward-backward stochastic systems with partial information, 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, Dynamic optimization of large-population systems with partial information, A first order semi-discrete algorithm for backward doubly stochastic differential equations, Stochastic maximum principle for controlled backward delayed system via advanced stochastic differential equation, Stochastic calculus with respect to \(G\)-Brownian motion viewed through rough paths, Convergence error estimates of the Crank-Nicolson scheme for solving decoupled FBSDEs, A forward-backward probabilistic algorithm for the incompressible Navier-Stokes equations, A forward-backward SDE from the 2D nonlinear stochastic heat equation, Optimal risk transfer and investment policies based upon stochastic differential utilities, Stochastic Saddle Paths and Economic Theory, A probabilistic method for numerical solution of quasi-linear parabolic equations, Coupled FBSDEs with measurable coefficients and its application to parabolic PDEs, Optimal compensation with hidden action and lump-sum payment in a continuous-time model, A maximum principle for general backward stochastic differential equation, Mean field models to regulate carbon emissions in electricity production, Existence and uniqueness of the solutions of forward-backward doubly stochastic differential equations with Poisson jumps, Necessary and sufficient optimality conditions for relaxed and strict control of forward-backward doubly SDEs with jumps under full and partial information, Representation and converse comparison theorems for multidimensional BSDEs, Forward-backward SDEs driven by Lévy process in stopping time duration, A Fourier transform method for solving backward stochastic differential equations, Probabilistic Counterparts of Nonlinear Parabolic Partial Differential Equation Systems, Stochastic maximum principle for systems driven by local martingales with spatial parameters, Convergence of the deep BSDE method for FBSDEs with non-Lipschitz coefficients, Solving stochastic optimal control problem via stochastic maximum principle with deep learning method, Backward doubly stochastic Volterra integral equations and their applications, Envelope viscosity solutions of first- and second-order PDEs with u-dependence, Linear-quadratic partially observed forward-backward stochastic differential games and its application in finance, Optimal position targeting via decoupling fields, Decentralized strategies for finite population linear-quadratic-Gaussian games and teams, A multi-step algorithm for BSDEs based on a predictor-corrector scheme and least-squares Monte Carlo, Existence of global solutions for multi-dimensional coupled FBSDEs with diagonally quadratic generators, Convex pricing by a generalized entropy penalty, Near-optimal control for stochastic recursive problems, 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, Overcoming the curse of dimensionality in the numerical approximation of backward stochastic differential equations, On the viscosity solutions of a stochastic differential utility problem, \(L^p\) estimates for fully coupled FBSDEs with jumps, Stochastic Burgers PDEs with random coefficients and a generalization of the Cole-Hopf transformation, On approximation of the backward stochastic differential equation, Simulation of BSDEs by Wiener chaos expansion, 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), Time discretization and Markovian iteration for coupled FBSDEs, A necessary condition for optimal control of~initial coupled forward-backward stochastic differential equations with~partial information, On a class of forward-backward stochastic differential systems in infinite dimensions, FBSDE approach to utility portfolio selection in a market with random parameters, Kalman-Bucy filtering equations of forward and backward stochastic systems and applications to recursive optimal control problems, Rational expectations models: An approach using forward-backward stochastic differential equations, Besides with stochastic Lipschitz condition and quadratic PDEs in Hilbert spaces, A maximum principle for fully coupled forward-backward stochastic control systems with terminal state constraints, Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations, Nonlinear Feynman-Kac formula and discrete-functional-type BSDEs with continuous coeffi\-cients, Lifetime consumption-portfolio choice under trading constraints, recursive preferences, and nontradeable income, Representations and regularities for solutions to BSDEs with reflections, Optimal bounded control of quasi-nonintegrable Hamiltonian systems using stochastic maximum principle, Completeness of security markets and solvability of linear backward stochastic differential equations, Dual method for continuous-time Markowitz's problems with nonlinear wealth equations, A forward-backward stochastic algorithm for quasi-linear PDEs, Backward stochastic Volterra integral equations and some related problems, Nonparametric Estimation for FBSDEs Models with Applications in Finance, Backward stochastic Volterra integral equations -- representation of adapted solutions, Stochastic differential games: a sampling approach via FBSDEs, Discretization of backward semilinear stochastic evolution equations, Optimal Controls for Stochastic Partial Differential Equations with an Application in Population Modeling, Generalized Hamilton--Jacobi--Bellman Equations with Dirichlet Boundary Condition and Stochastic Exit Time Optimal Control Problem, 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, Stability of Regression-Based Monte Carlo Methods for Solving Nonlinear PDEs, Linear-quadratic time-inconsistent mean field games, BSDEs with jumps and path-dependent parabolic integro-differential equations, Risk-sensitive mean field games via the stochastic maximum principle, Weak solutions for forward-backward SDEs-a martingale problem approach, 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, The Forward-Backward Stochastic Heat Equation: Numerical Analysis and Simulation, Reflected forward–backward stochastic differential equations and related PDEs, Terminal-dependent statistical inference for the integral form of FBSDE, Asymptotics for FBSDES with Jumps and Connections with Partial Integral Differential Equations, Linear quadratic optimal control problems for mean-field backward stochastic differential equations, Forward–backward stochastic partial differential equations with non-monotonic coefficients, 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, Representation of solutions to BSDEs associated with a degenerate FSDE, Probabilistic Methods for the Incompressible Navier–Stokes Equations With Space Periodic Conditions, A class of stochastic optimal control problems in Hilbert spaces: BSDEs and optimal control laws, state constraints, conditioned processes., A probabilistic representation of the solution of some quasi-linear PDE with a divergence form operator. Application to existence of weak solutions of FBSDE., Representation theorems for generators of backward stochastic differential equations and their applications, Solutions for functional fully coupled forward-backward stochastic differential equations, Pricing renewable energy certificates with a Crank-Nicolson Lagrange-Galerkin numerical method, Euler-Lagrange equations of stochastic differential games: application to a game of a productive asset, On forward-backward stochastic differential equations in a domination-monotonicity framework, 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, Robust backward linear-quadratic differential game and team: a soft-constraint analysis, Linear-Quadratic Optimal Controls for Stochastic Volterra Integral Equations: Causal State Feedback and Path-Dependent Riccati Equations, Nonlocality, nonlinearity, and time inconsistency in stochastic differential games, Solvability of general fully coupled forward–backward stochastic difference equations with delay and applications, A generalized finite element θ-scheme for backward stochastic partial differential equations and its error estimates, The pathwise-determined maximum principle and symmetric integrals, Markovian-switching systems: backward and forward-backward stochastic differential equations, mean-field interactions, and nonzero-sum differential games, Numerical Analysis for Convergence of a Sample-Wise Backpropagation Method for Training Stochastic Neural Networks, Existence and uniqueness of solution for fully coupled fractional forward-backward stochastic differential equations with delay and anticipated term, Convergence of a Spatial Semidiscretization for a Backward Semilinear Stochastic Parabolic Equation, Robust mean field social control problems with applications in analysis of opinion dynamics, Dynamic programming principle and associated Hamilton-Jacobi-Bellman equation for stochastic recursive control problem with non-Lipschitz aggregator, Dynamic Conic Finance via Backward Stochastic Difference Equations, Stochastic optimal control problem with infinite horizon driven by G-Brownian motion, Forward-Backward Stochastic Differential Equations and Linear-Quadratic Generalized Stackelberg Games, Some Results on Reflected Forward-Backward Stochastic differential equations, A Global Stochastic Maximum Principle for Fully Coupled Forward-Backward Stochastic Systems, Asymptotic Expansion Approach in Finance, Sensitivity with Respect to the Yield Curve: Duration in a Stochastic Setting, Schwarz Method for Financial Engineering, Dynamics of solvency risk in life insurance liabilities, A transformation method to study the solvability of fully coupled FBSDEs, Linear-Quadratic-Gaussian Mixed Mean-Field Games with Heterogeneous Input Constraints, Optimal Control of Diffusion Coefficients via Decoupling Fields, Unnamed Item, Linear-quadratic optimal control problems for mean-field stochastic differential equations — time-consistent solutions, Stochastic maximum principle for partially observed risk‐sensitive optimal control problems of mean‐field forward‐backward stochastic differential equations, A sufficient condition for optimal control problem of fully coupled forward‐backward stochastic systems with jumps: A state‐constrained control approach, Value function estimators for Feynman-Kac forward-backward SDEs in stochastic optimal control, Forward-backward stochastic differential equations driven by \(G\)-Brownian motion under weakly coupling condition, Eigenvalues of stochastic Hamiltonian systems with boundary conditions and its application, \( L^p\) estimations of fully coupled FBSDEs, Strong stability preserving multistep schemes for forward backward stochastic differential equations, DIFFERENTIABILITY OF BSVIEs AND DYNAMIC CAPITAL ALLOCATIONS, \(L^p\)-error estimates for numerical schemes for solving certain kinds of mean-field backward stochastic differential equations, Equilibrium strategies for time-inconsistent stochastic switching systems, Subgame-perfect equilibrium strategies for time-inconsistent recursive stochastic control problems, Existence, Characterization, and Approximation in the Generalized Monotone-Follower Problem, An Efficient Gradient Projection Method for Stochastic Optimal Control Problems, On quasilinear parabolic systems and FBSDEs of quadratic growth, Indefinite Backward Stochastic Linear-Quadratic Optimal Control Problems, A class of optimal control problems of forward-backward systems with input constraint, Robust Mean Field Linear-Quadratic-Gaussian Games with Unknown $L^2$-Disturbance, Pointwise Second-Order Necessary Conditions for Stochastic Optimal Controls, Part II: The General Case, Time-Inconsistent Recursive Stochastic Optimal Control Problems, Forward-backward stochastic differential equations: initiation, development and beyond, From mean field games to Navier-Stokes equations, Temporal semi-discretizations of a backward semilinear stochastic evolution equation, A Nonintrusive Stratified Resampler for Regression Monte Carlo: Application to Solving Nonlinear Equations, Linear-Quadratic Large-Population Problem with Partial Information: Hamiltonian Approach and Riccati Approach, Non-Zero Sum Differential Games of Backward Stochastic Differential Delay Equations Under Partial Information, Convergence of Recent Multistep Schemes for a Forward-Backward Stochastic Differential Equation, Prediction-Correction Scheme for Decoupled Forward Backward Stochastic Differential Equations with Jumps, A Unified Probabilistic Discretization Scheme for FBSDEs: Stability, Consistency, and Convergence Analysis, On the partial controllability of SDEs and the exact controllability of FBSDES, Unnamed Item, Backward stochastic differential equations with unbounded generators, A Stochastic Linear Quadratic Optimal Control Problem with Generalized Expectation, Dynamic optimal contract under parameter uncertainty with risk-averse agent and principal, Forward-backward SDEs with discontinuous coefficients, Probabilistic Approach to Mean Field Games and Mean Field Type Control Problems with Multiple Populations, Optimal control of harvesting in a stochastic metapopulation model, High Order Numerical Schemes for Second-Order FBSDEs with Applications to Stochastic Optimal Control, Infinite horizon reflected backward stochastic differential equations with Markov chains, Decoupling on the Wiener Space, Related Besov Spaces, and Applications to BSDEs, Terminal-Dependent Statistical Inferences for FBSDE, BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART I: PRICING, An interpolated stochastic algorithm for quasi-linear PDEs, Forward-backward stochastic differential equations and PDE with gradient dependent second order coefficients, Efficient Computation of Hedging Portfolios for Options with Discontinuous Payoffs, Forward-backward stochastic differential equations with mixed initial-terminal conditions, A Characterization of Approximate Solutions of Multiobjective Stochastic Optimal Control Problems, Deep Splitting Method for Parabolic PDEs, CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION, Non-Markovian fully coupled forward–backward stochastic systems and classical solutions of path-dependent PDES, Extended backward stochastic Volterra integral equations, Quasilinear parabolic equations, and Feynman–Kac formula, Controllability of Stochastic Game-Based Control Systems, The Existence and Uniqueness of Viscosity Solution to a Kind of Hamilton--Jacobi--Bellman Equation, Forward-Backward Stochastic Differential Equations Generated by Bernstein Diffusions, $L^p$-theory of forward-backward stochastic differential equations, Data informed solution estimation for forward-backward stochastic differential equations, Numerical Method for Reflected Backward Stochastic Differential Equations, Robust linear quadratic mean field social control: A direct approach, Linear-quadratic optimal control for backward stochastic differential equations with random coefficients, Time-inconsistent stochastic optimal control problems and backward stochastic volterra integral equations, Social optima in leader-follower mean field linear quadratic control, Infinite Horizon Forward-Backward SDEs and Open-Loop Optimal Controls for Stochastic Linear-Quadratic Problems with Random Coefficients, Parabolic Schemes for Quasi-Linear Parabolic and Hyperbolic PDEs via Stochastic Calculus, The Maximum Principle for Global Solutions of Stochastic Stackelberg Differential Games, An Optimal Feedback Control-Strategy Pair For Zero-Sum Linear-Quadratic Stochastic Differential Game: the Riccati Equation Approach, Fully coupled forward–backward stochastic dynamics and functional differential systems, Social Optima in Mean Field Linear-Quadratic-Gaussian Control with Volatility Uncertainty, Stochastic maximum principle, dynamic programming principle, and their relationship for fully coupled forward-backward stochastic controlled systems, Near-optimal control problems for forward-backward regime-switching systems, A Dual Method For Evaluation of Dynamic Risk in Diffusion Processes, Relationship between backward and forward linear-quadratic mean-field-game with terminal constraint and optimal asset allocation for insurers and pension funds, Numerical Stability Analysis of the Euler Scheme for BSDEs, Explicit Solutions of Quadratic FBSDEs Arising From Quadratic Term Structure Models, Mean-variance portfolio selection with non-negative state-dependent risk aversion, Hybrid PDE solver for data-driven problems and modern branching, Infinite horizon backward stochastic Volterra integral equations and discounted control problems, Dynamic programming principle and Hamilton-Jacobi-Bellman equation under nonlinear expectation, General indefinite backward stochastic linear-quadratic optimal control problems, Backward stochastic partial differential equations in infinite dimensions, Necessary and sufficient conditions of optimality for optimal control problem with initial and terminal costs, Principle of equivalent utility and universal variable life insurance pricing, Backward stochastic differential equations with Markov switching driven by Brownian motion and Poisson random measure, A stochastic approach to a new type of parabolic variational inequalities
