Forward-backward stochastic differential equations with Brownian motion and Poisson process
From MaRDI portal
Publication:1864226
DOI10.1007/BF02684045zbMath1009.60050OpenAlexW32385090MaRDI QIDQ1864226
Publication date: 17 March 2003
Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/bf02684045
Related Items (20)
LATENCY AND LIQUIDITY RISK ⋮ Sufficient Conditions of Optimality for Forward-Backward Doubly SDEs with Jumps ⋮ Maximum principle for forward-backward stochastic control system driven by Lévy process ⋮ Necessary and sufficient optimality conditions for relaxed and strict control of forward-backward doubly SDEs with jumps under full and partial information ⋮ Global maximum principle for the forward-backward stochastic optimal control problem with poisson jumps ⋮ Forward-backward SDEs driven by Lévy process in stopping time duration ⋮ Eigenvalues of stochastic Hamiltonian systems driven by Poisson process with boundary conditions ⋮ Forward-backward SDEs with jumps and classical solutions to nonlocal quasilinear parabolic PDEs ⋮ A sufficient condition for optimal control problem of fully coupled forward‐backward stochastic systems with jumps: A state‐constrained control approach ⋮ Backward linear-quadratic stochastic optimal control and nonzero-sum differential game problem with random jumps ⋮ Necessary conditions for optimal control of forward-backward stochastic systems with random jumps ⋮ The Global Maximum Principle for Progressive Optimal Control of Partially Observed Forward-Backward Stochastic Systems with Random Jumps ⋮ \(L^p\) estimates for fully coupled FBSDEs with jumps ⋮ Prediction-Correction Scheme for Decoupled Forward Backward Stochastic Differential Equations with Jumps ⋮ Linear quadratic nonzero-sum differential games with random jumps ⋮ Maximum principle for forward-backward control system driven by Itô-Lévy processes under initial-terminal constraints ⋮ A stochastic Fubini theorem: BSDE method ⋮ The Filtering Equations of Forward-Backward Stochastic Systems with Random Jumps and Applications to Partial Information Stochastic Optimal Control ⋮ On Solutions of Forward‐Backward Stochastic Differential Equations with Poisson Jumps ⋮ Stochastic differential games for fully coupled FBSDEs with jumps
Cites Work
- Unnamed Item
- Adapted solution of a backward stochastic differential equation
- Solving forward-backward stochastic differential equations explicitly -- a four step scheme
- On solutions of backward stochastic differential equations with jumps and applications
- Solution of forward-backward stochastic differential equations
- Backward stochastic differential equations and integral-partial differential equations
- Probabilistic interpretation for systems of quasilinear parabolic partial differential equations
- Stochastic Differential Utility
- Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control
- Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
- Backward Stochastic Differential Equations in Finance
This page was built for publication: Forward-backward stochastic differential equations with Brownian motion and Poisson process
