Finding adapted solutions of forward-backward stochastic differential equations: Method of continuation
From MaRDI portal
Publication:1357872
DOI10.1007/s004400050098zbMath0883.60053OpenAlexW2066197757MaRDI QIDQ1357872
Publication date: 16 March 1998
Published in: Probability Theory and Related Fields (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s004400050098
Related Items
Linear forward-backward stochastic differential equations with random coefficients ⋮ Infinite horizon forward-backward stochastic differential equations ⋮ Mean-Field Type FBSDEs under Domination-Monotonicity Conditions and Application to LQ Problems ⋮ FBSDEs involving time delays and advancements on infinite horizon and LQ problems with delays ⋮ Forward-backward stochastic differential equations with nonsmooth coefficients. ⋮ Newton Method for Stochastic Control Problems ⋮ Recursive stochastic linear-quadratic optimal control and nonzero-sum differential game problems with random jumps ⋮ 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 ⋮ Forward-Backward Stochastic Differential Equations and Linear-Quadratic Generalized Stackelberg Games ⋮ Equilibrium price formation with a major player and its mean field limit ⋮ Coupled FBSDEs with measurable coefficients and its application to parabolic PDEs ⋮ Forward-backward evolution equations and applications ⋮ Sufficient Conditions of Optimality for Forward-Backward Doubly SDEs with Jumps ⋮ Weak existence and uniqueness for forward-backward SDEs ⋮ Existence and uniqueness of the solutions of forward-backward doubly stochastic differential equations with Poisson jumps ⋮ Four step scheme for general Markovian forward-backward SDEs ⋮ Fully coupled forward-backward stochastic functional differential equations and applications to quadratic optimal control ⋮ A transformation method to study the solvability of fully coupled FBSDEs ⋮ Forward-backward SDEs driven by Lévy process in stopping time duration ⋮ Quasi-linear PDEs and forward-backward stochastic differential equations: weak solutions ⋮ 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 ⋮ Forward-backward systems for expected utility maximization ⋮ 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 ⋮ Forward-backward stochastic differential equations driven by \(G\)-Brownian motion under weakly coupling condition ⋮ \( L^p\) estimations of 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 ⋮ Optimal position targeting via decoupling fields ⋮ \(L^p\)-estimate for linear forward-backward stochastic differential equations ⋮ 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 ⋮ Forward-backward stochastic differential equations: initiation, development and beyond ⋮ On path-dependent multidimensional forward-backward SDEs ⋮ Propagation of chaos of forward-backward stochastic differential equations with graphon interactions ⋮ Fully-coupled mean-field FBSDE and maximum principle for related optimal control problem ⋮ 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 ⋮ Linear quadratic stochastic integral games and related topics ⋮ A type of time-symmetric forward-backward stochastic differential equations ⋮ A linear-quadratic mean-field game of backward stochastic differential equation with partial information and common noise ⋮ Anticipated backward stochastic differential equations with quadratic growth ⋮ Well-posedness of a class of two-point boundary value problems associated with ordinary 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 ⋮ Unnamed Item ⋮ Forward-backward SDEs with random terminal time and applications to pricing special European-type options for a large investor ⋮ On weak solutions of forward-backward SDEs ⋮ Linear quadratic nonzero-sum differential games with random jumps ⋮ A modified MSA for stochastic control problems ⋮ Local wellposedness of coupled backward stochastic differential equations driven by \(G\)-Brownian motions ⋮ Linear-quadratic generalized Stackelberg games with jump-diffusion processes and related forward-backward stochastic differential equations ⋮ On solutions of a class of infinite horizon FBSDEs ⋮ Jiongmin Yong's mathematical works in recent thirty years ⋮ Forward backward SDEs in weak formulation ⋮ Delayed stochastic linear-quadratic control problem and related applications ⋮ A type of general forward-backward stochastic differential equations and applications ⋮ On the existence and uniqueness of solutions to FBSDEs in a non-degenerate case. ⋮ Newton-Kantorovitch method for decoupled forward-backward stochastic differential equations ⋮ Linear−quadratic optimal control and nonzero‐sum differential game of forward−backward stochastic system ⋮ On non-Markovian forward-backward SDEs and backward stochastic PDEs ⋮ Maximum principle for partially-observed optimal control of fully-coupled forward-backward stochastic systems ⋮ Forward-backward stochastic differential equations with mixed initial-terminal conditions ⋮ Backward stochastic dynamics on a filtered probability space ⋮ Infinite horizon forward-backward doubly stochastic differential equations and related SPDEs ⋮ Backward stochastic Volterra integral equations -- representation of adapted solutions ⋮ 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 ⋮ An exploration of \(L^p\)-theory for forward-backward stochastic differential equations with random coefficients on small durations ⋮ Forward-backward stochastic differential equation with subdifferential operator and associated variational inequality ⋮ Backward-forward linear-quadratic mean-field games with major and minor agents ⋮ Probabilistic interpretation for a system of quasilinear parabolic partial differential equation combined with algebra equations ⋮ Forward-backward stochastic differential equations on infinite horizon and quasilinear elliptic PDEs ⋮ The Existence and Uniqueness of Viscosity Solution to a Kind of Hamilton--Jacobi--Bellman Equation ⋮ Solutions to general forward-backward doubly stochastic differential equations ⋮ Asymptotics for FBSDES with Jumps and Connections with Partial Integral Differential Equations ⋮ $L^p$-theory of forward-backward stochastic differential equations ⋮ Existence and uniqueness of solution for coupled fractional mean-field forward-backward stochastic differential equations ⋮ Infinite Horizon Forward-Backward SDEs and Open-Loop Optimal Controls for Stochastic Linear-Quadratic Problems with Random Coefficients ⋮ Infinite horizon boundary value problems and applications ⋮ Fully coupled forward–backward stochastic dynamics and functional differential systems ⋮ A maximum principle for fully coupled stochastic control systems of mean-field type ⋮ Mean-field type FBSDEs in a domination-monotonicity framework and LQ multi-level Stackelberg games ⋮ Backward stochastic differential equations and backward stochastic Volterra integral equations with anticipating generators ⋮ Solutions for functional fully coupled forward-backward stochastic differential equations ⋮ Arrow sufficient conditions for optimality of fully coupled forward-backward stochastic differential equations with applications to finance ⋮ Necessary and sufficient conditions of optimality for optimal control problem with initial and terminal costs ⋮ Forward-backward stochastic differential systems associated to Navier-Stokes equations in the whole space ⋮ A stochastic approach to a new type of parabolic variational inequalities ⋮ 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
