Backward-forward stochastic differential equations
From MaRDI portal
Publication:1308701
DOI10.1214/aoap/1177005363zbMath0780.60058OpenAlexW2090857110MaRDI QIDQ1308701
Publication date: 30 January 1994
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aoap/1177005363
existence and uniquenessbackward stochastic differential equationsemimartingaleoptional projectionadapted process
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05)
Related Items (only showing first 100 items - show all)
Mean-Field Type FBSDEs under Domination-Monotonicity Conditions and Application to LQ Problems ⋮ Convergence of a Robust Deep FBSDE Method for Stochastic Control ⋮ Control in Hilbert Space and First-Order Mean Field Type Problem ⋮ Weak Solutions of Forward–Backward SDE's ⋮ Two Equivalent Families of Linear Fully Coupled Forward Backward Stochastic Differential Equations ⋮ LATENCY AND LIQUIDITY RISK ⋮ Wellposedness of Mean Field Games with Common Noise under a Weak Monotonicity Condition ⋮ Forward-Backward Stochastic Differential Equations and Linear-Quadratic Generalized Stackelberg Games ⋮ Some Results on Reflected Forward-Backward Stochastic differential equations ⋮ Sufficient Conditions of Optimality for Forward-Backward Doubly SDEs with Jumps ⋮ A Probabilistic Method for a Class of Non-Lipschitz BSDEs with Application to Fund Management ⋮ Weak solutions and a Yamada–Watanabe theorem for FBSDEs ⋮ Existence and uniqueness of the solutions of forward-backward doubly stochastic differential equations with Poisson jumps ⋮ Solution to the forward and backward stochastic difference equations with asymmetric information and application ⋮ Necessary and sufficient optimality conditions for relaxed and strict control of forward-backward doubly SDEs with jumps under full and partial information ⋮ Existence of an optimal control for a coupled FBSDE with a non degenerate diffusion coefficient ⋮ An FBSDE approach to market impact games with stochastic parameters ⋮ Unnamed Item ⋮ Forward–backward stochastic differential equations with delay generators ⋮ Sobolev space weak solutions to one kind of quasilinear parabolic partial differential equations related to forward-backward stochastic differential equations ⋮ Maximum principle for partially observed stochastic recursive optimal control problems involving impulse controls ⋮ A strong convergence rate of the averaging principle for two-time-scale forward-backward stochastic differential equations ⋮ 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 ⋮ Vanishing viscosity in mean-field optimal control ⋮ \(L^p\)-estimate for linear forward-backward stochastic differential equations ⋮ General coupled mean-field reflected forward-backward stochastic differential equations ⋮ Existence of global solutions for multi-dimensional coupled FBSDEs with diagonally quadratic generators ⋮ A class of optimal control problems of forward-backward systems with input constraint ⋮ Fully coupled drift-less forward and backward stochastic differential equations in a degenerate case ⋮ Going forward \& backward with Jin Ma ⋮ Forward-backward stochastic differential equations: initiation, development and beyond ⋮ On path-dependent multidimensional forward-backward SDEs ⋮ Linear-Quadratic Large-Population Problem with Partial Information: Hamiltonian Approach and Riccati Approach ⋮ Fully-coupled mean-field FBSDE and maximum principle for related optimal control problem ⋮ Solvability of general fully coupled forward–backward stochastic difference equations with delay and applications ⋮ Markovian-switching systems: backward and forward-backward stochastic differential equations, mean-field interactions, and nonzero-sum differential games ⋮ Existence and uniqueness of solution for fully coupled fractional forward-backward stochastic differential equations with delay and anticipated term ⋮ On Z-mean reflected BSDEs ⋮ On the viscosity solutions of a stochastic differential utility problem ⋮ Recursive StochasticH2/H∞Control Problem for Delay Systems Involving Continuous and Impulse Controls ⋮ Unnamed Item ⋮ Forward-backward SDEs with discontinuous coefficients ⋮ Asymptotic properties of coupled forward–backward stochastic differential equations ⋮ Newton-Kantorovitch method for decoupled forward-backward stochastic differential equations ⋮ Linear−quadratic optimal control and nonzero‐sum differential game of forward−backward stochastic system ⋮ An interpolated stochastic algorithm for quasi-linear PDEs ⋮ Forward-backward stochastic differential equations and PDE with gradient dependent second order coefficients ⋮ Asset pricing with a forward--backward stochastic differential utility ⋮ Forward-backward stochastic differential equations with mixed initial-terminal conditions ⋮ Nonparametric Estimation for FBSDEs Models with Applications in Finance ⋮ Filtration stability of backward sde's ⋮ On the existence of solution to one–dimensional forward–backward sdes ⋮ Necessary condition for near optimal control of linear forward–backward stochastic differential equations ⋮ Fully coupled FBSDE with Brownian motion and Poisson process in stopping time duration ⋮ Fully coupled forward-backward SDEs involving the value function and associated nonlocal Hamilton−Jacobi−Bellman equations ⋮ Mean-field backward–forward stochastic differential equations and nonzero sum stochastic differential games ⋮ The Existence and Uniqueness of Viscosity Solution to a Kind of Hamilton--Jacobi--Bellman Equation ⋮ Forward–backward stochastic partial differential equations with non-monotonic coefficients ⋮ Infinite Horizon Forward-Backward SDEs and Open-Loop Optimal Controls for Stochastic Linear-Quadratic Problems with Random Coefficients ⋮ The Absence of Arbitrage Property in Mixed Fractional Bownian Motion Setting ⋮ Arrow-Mangasarian Sufficient Conditions for Controlled Semimartingales ⋮ Fully coupled forward–backward stochastic dynamics and functional differential systems ⋮ LQ control of forward and backward stochastic difference system ⋮ On nonlinear Feynman–Kac formulas for viscosity solutions of semilinear parabolic partial differential equations ⋮ Nonzero sum linear–quadratic stochastic differential games and backward–forward equations ⋮ Solving forward-backward stochastic differential equations explicitly -- a four step scheme ⋮ Linear forward-backward stochastic differential equations with random coefficients ⋮ Infinite horizon forward-backward stochastic differential equations ⋮ Corrigendum to ``Stability in \(\mathbb D\) of martingales and backward equations under discretization of filtration ⋮ Convergence error estimates of the Crank-Nicolson scheme for solving decoupled FBSDEs ⋮ FBSDEs involving time delays and advancements on infinite horizon and LQ problems with delays ⋮ Forward-backward stochastic differential equations with nonsmooth coefficients. ⋮ A forward-backward probabilistic algorithm for the incompressible Navier-Stokes equations ⋮ Problem of eigenvalues of stochastic Hamiltonian systems with boundary conditions. ⋮ A term structure model with preferences for the timing of resolution of uncertainty ⋮ Recursive stochastic linear-quadratic optimal control and nonzero-sum differential game problems with random jumps ⋮ Nonlinear valuation under credit, funding, and margins: existence, uniqueness, invariance, and disentanglement ⋮ Asset and commodity prices with multi-attribute durable goods ⋮ Recursive valuation of defaultable securities and the timing of resolution of uncertainty ⋮ Solution of forward-backward stochastic differential equations ⋮ Coupled FBSDEs with measurable coefficients and its application to parabolic PDEs ⋮ Weak existence and uniqueness for forward-backward SDEs ⋮ The equivalence between uniqueness and continuous dependence of solutions for FBSDEs with continuous monotone coefficients ⋮ Markovian forward-backward stochastic differential equations and stochastic flows ⋮ Stability of backward stochastic differential equations ⋮ Four step scheme for general Markovian forward-backward SDEs ⋮ Singular FBSDEs and scalar conservation laws driven by diffusion processes ⋮ Forward-backward SDEs driven by Lévy process in stopping time duration ⋮ Quasi-linear PDEs and forward-backward stochastic differential equations: weak solutions ⋮ Forward-backward systems for expected utility maximization ⋮ Stochastic differential utility as the continuous-time limit of recursive utility ⋮ Forward-backward doubly stochastic differential equations and related stochastic partial differential equations ⋮ Well-posedness of fully coupled linear forward-backward stochastic differential equations ⋮ Solvability of forward-backward stochastic partial differential equations ⋮ Near-optimality conditions in stochastic control of linear fully coupled FBSDEs ⋮ Backward linear-quadratic stochastic optimal control and nonzero-sum differential game problem with random jumps ⋮ A maximum principle for controlled time-symmetric forward-backward doubly stochastic differential equation with initial-terminal state constraints ⋮ Exchange rate bifurcation in a stochastic evolutionary finance model
This page was built for publication: Backward-forward stochastic differential equations
