Solution of forward-backward stochastic differential equations

Cites Work

Backward-forward stochastic differential equations
Solving forward-backward stochastic differential equations explicitly -- a four step scheme
Adapted solution of a backward semilinear stochastic evolution equation
Probabilistic interpretation for systems of quasilinear parabolic partial differential equations
A Generalized dynamic programming principle and hamilton-jacobi-bellman equation
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Adapted solution of a backward stochastic differential equation
Probabilistic interpretation of a system of quasilinear elliptic partial differential equations under Neumann boundary conditions
Efficient and equilibrium allocations with stochastic differential utility
$N$-person differential games governed by semilinear stochastic evolution systems
Black's consol rate conjecture

Cited In (only showing first 100 items - show all)

Forward-backward stochastic differential equation with subdifferential operator and associated variational inequality
Linear-Quadratic Mean Field Stackelberg Games with State and Control Delays
On the existence of solution to one–dimensional forward–backward sdes
Forward–backward stochastic differential equations with delay generators
Linear-quadratic stochastic two-person nonzero-sum differential games: open-loop and closed-loop Nash equilibria
Backward linear-quadratic stochastic optimal control and nonzero-sum differential game problem with random jumps
Fully coupled forward-backward stochastic differential equations on Markov chains
Global solutions of stochastic Stackelberg differential games under convex control constraint
A maximum principle for controlled time-symmetric forward-backward doubly stochastic differential equation with initial-terminal state constraints
Forward-backward SDEs with discontinuous coefficients
Optimal position targeting via decoupling fields
A maximum principle for fully coupled controlled forward-backward stochastic difference systems of mean-field type
Nonparametric Estimation for FBSDEs Models with Applications in Finance
Backward-forward linear-quadratic mean-field games with major and minor agents
Dual method for continuous-time Markowitz's problems with nonlinear wealth equations
Well-posedness of fully coupled linear forward-backward stochastic differential equations
Maximum principle for partially observed stochastic recursive optimal control problems involving impulse controls
Arrow sufficient conditions for optimality of fully coupled forward-backward stochastic differential equations with applications to finance
An indefinite stochastic linear quadratic optimal control problem with delay and related forward-backward stochastic differential equations
Existence of the solutions of backward-forward SDE's with continuous monotone coefficients
Infinite horizon forward-backward doubly stochastic differential equations and related SPDEs
A Modified Method of Successive Approximations for Stochastic Recursive Optimal Control Problems
General linear forward and backward stochastic difference equations with applications
Infinite horizon boundary value problems and applications
Sobolev space weak solutions to one kind of quasilinear parabolic partial differential equations related to forward-backward stochastic differential equations
Stochastic maximum principle, dynamic programming principle, and their relationship for fully coupled forward-backward stochastic controlled systems
An exploration of $L^p$-theory for forward-backward stochastic differential equations with random coefficients on small durations
The comparison theorem of FBSDE
A Global Stochastic Maximum Principle for Fully Coupled Forward-Backward Stochastic Systems
Probabilistic approach to singular perturbations of semilinear and quasilinear parabolic PDEs
Necessary and sufficient conditions for near-optimal harvesting control problem of stochastic age-dependent system
Forward backward SDEs in weak formulation
On path-dependent multidimensional forward-backward SDEs
$L^{p}$ solutions of infinite time interval backward doubly stochastic differential equations under monotonicity and general increasing conditions
A maximum principle for fully coupled stochastic control systems of mean-field type
Backward stochastic Volterra integral equations -- representation of adapted solutions
Near-optimality conditions in stochastic control of linear fully coupled FBSDEs
Linear quadratic mean field game with control input constraint
Reflected forward-backward stochastic differential equations with continuous monotone coefficients
Quasi-linear PDEs and forward-backward stochastic differential equations: weak solutions
Fully coupled forward-backward SDEs involving the value function and associated nonlocal Hamilton-Jacobi-Bellman equations
FBSDE approach to utility portfolio selection in a market with random parameters
Solutions for functional fully coupled forward-backward stochastic differential equations
Robust Mean Field Linear-Quadratic-Gaussian Games with Unknown $L^2$-Disturbance
Mean-field linear-quadratic stochastic differential games
Non-Markovian fully coupled forward–backward stochastic systems and classical solutions of path-dependent PDES
Prediction-Correction Scheme for Decoupled Forward Backward Stochastic Differential Equations with Jumps
Forward-backward stochastic differential equations on infinite horizon and quasilinear elliptic PDEs
Asymptotic behaviors for functionals of random dynamical systems
Backward stochastic $H_2 / H_{\infty}$ control: infinite horizon case
Forward-backward stochastic differential equations driven by $G$-Brownian motion under weakly coupling condition
On controllability for stochastic control systems when the coefficient is time-variant
On the existence of optimal controls for backward stochastic partial differential equations
Fully coupled FBSDE with Brownian motion and Poisson process in stopping time duration
Forward-backward systems for expected utility maximization
Solvability of forward-backward stochastic partial differential equations
Mean-field backward–forward stochastic differential equations and nonzero sum stochastic differential games
Forward-backward stochastic differential equations with nonsmooth coefficients.
On solutions of a class of infinite horizon FBSDEs
Linear quadratic nonzero-sum differential games with random jumps
Indefinite stochastic linear-quadratic optimal control problems with random jumps and related stochastic Riccati equations
Reflected forward–backward stochastic differential equations and related PDEs
Weak existence and uniqueness for forward-backward SDEs
A stochastic approach to a new type of parabolic variational inequalities
A maximum principle for optimal control problem of fully coupled forward-backward stochastic systems with partial information
Singularly perturbed boundary value problems
Backward-forward stochastic differential equations
Fully coupled mean-field forward-backward stochastic differential equations and stochastic maximum principle
Linear-quadratic optimal control for time-delay stochastic system with recursive utility under full and partial information
Hilbert space-valued forward-backward stochastic differential equations with Poisson jumps and applications
A Stochastic HJB Equation for Optimal Control of Forward-Backward SDEs
Maximum principle for partially-observed optimal control of fully-coupled forward-backward stochastic systems
On non-Markovian forward-backward SDEs and backward stochastic PDEs
On the solvability of infinite horizon forward-backward stochastic differential equations with absorption coefficients
Comparison theorems for forward backward SDEs
Well-posedness of mean-field type forward-backward stochastic differential equations
Risk minimization in financial markets modeled by Itô-Lévy processes
Dynamic programming principle and associated Hamilton-Jacobi-Bellman equation for stochastic recursive control problem with non-Lipschitz aggregator
Backward-forward SDE's and stochastic differential games
A dynamic maximum principle for the optimization of recursive utilities under constraints.
Four step scheme for general Markovian forward-backward SDEs
Stochastic differential games for fully coupled FBSDEs with jumps
Forward-Backward Stochastic Differential Equations and Linear-Quadratic Generalized Stackelberg Games
Solutions to general forward-backward doubly stochastic differential equations
A type of general forward-backward stochastic differential equations and applications
Fully coupled forward–backward stochastic dynamics and functional differential systems
Linear−quadratic optimal control and nonzero‐sum differential game of forward−backward stochastic system
Forward-backward stochastic differential equations with Brownian motion and Poisson process
Necessary and sufficient conditions of optimality for optimal control problem with initial and terminal costs
$L^p$ weak convergence method on BSDEs with non-uniformly Lipschitz coefficients and its applications
A type of time-symmetric forward-backward stochastic differential equations
Markovian forward-backward stochastic differential equations and stochastic flows
On a class of forward-backward stochastic differential systems in infinite dimensions
A Fully Discrete Explicit Multistep Scheme for Solving Coupled Forward Backward Stochastic Differential Equations
Problem of eigenvalues of stochastic Hamiltonian systems with boundary conditions.
Infinite horizon forward-backward stochastic differential equations
Forward-backward stochastic differential equations with mixed initial-terminal conditions
Forward-backward evolution equations and applications
Optimal contracts in continuous-time models
Weak solutions and a Yamada–Watanabe theorem for FBSDEs

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