Solution of forward-backward stochastic differential equations
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Publication:1900239
DOI10.1007/BF01204218zbMATH Open0831.60065MaRDI QIDQ1900239FDOQ1900239
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- Linear-quadratic optimal control for time-delay stochastic system with recursive utility under full and partial information
- Reflected forward-backward stochastic differential equations and related PDEs
- Hilbert space-valued forward-backward stochastic differential equations with Poisson jumps and applications
- Linear-quadratic-Gaussian mixed mean-field games with heterogeneous input constraints
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- On non-Markovian forward-backward SDEs and backward stochastic PDEs
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- Risk minimization in financial markets modeled by Itô-Lévy processes
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- Necessary and sufficient conditions of optimality for optimal control problem with initial and terminal costs
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