Solution of forward-backward stochastic differential equations

DOI10.1007/BF01204218zbMATH Open0831.60065MaRDI QIDQ1900239FDOQ1900239

Publication date: 25 January 1996

Published in: Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

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scientific article; zbMATH DE number 1066314
Solvability of forward-backward stochastic partial differential equations
Forward-backward stochastic differential equations and their applications
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Approximate solvability of forward-backward stochastic differential equations
Solutions to general forward-backward doubly stochastic differential equations
Solutions for functional fully coupled forward-backward stochastic differential equations
scientific article; zbMATH DE number 5732947

zbMATH Keywords

existence and uniqueness forward-backward stochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integral equations (60H20)

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
Title not available (Why is that?)
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)

On controllability for stochastic control systems when the coefficient is time-variant
On the existence of optimal controls for backward stochastic partial differential equations
A stochastic HJB equation for optimal control of forward-backward SDEs
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
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
\(L^p\)-theory of forward-backward stochastic differential equations
Indefinite stochastic linear-quadratic optimal control problems with random jumps and related stochastic Riccati equations
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
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
Maximum principle for partially-observed optimal control of fully-coupled forward-backward stochastic systems
On non-Markovian forward-backward SDEs and backward stochastic PDEs
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
Solutions to general forward-backward doubly stochastic differential equations
A type of general forward-backward stochastic differential equations and applications
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
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
Backward stochastic dynamics on a filtered probability space
Recursive stochastic linear-quadratic optimal control and nonzero-sum differential game problems with random jumps
Forward-backward doubly stochastic differential equations and related stochastic partial differential equations
On well-posedness of forward-backward SDEs -- a unified approach
Weak Solutions of Forward–Backward SDE's
On the existence and uniqueness of solutions to FBSDEs in a non-degenerate case.
\(L^p\) estimates for fully coupled FBSDEs with jumps
Linear - quadratic optimal control and nonzero-sum differential game of forward-backward stochastic system
On Solutions of Forward‐Backward Stochastic Differential Equations with Poisson Jumps
Well-posedness of a class of two-point boundary value problems associated with ordinary differential equations
A partial information non-zero sum differential game of backward stochastic differential equations with applications
Efficient numerical Fourier methods for coupled forward-backward SDEs
Mean-field backward-forward stochastic differential equations and nonzero sum stochastic differential games
On the viscosity solutions of a stochastic differential utility problem
Probabilistic approach to viscosity solutions of the Cauchy problems for systems if fully nonlinear parabolic equations
Delayed stochastic linear-quadratic control problem and related applications
A maximum principle for fully coupled forward-backward stochastic control systems with terminal state constraints
Fully coupled forward-backward stochastic dynamics and functional differential systems
Finding adapted solutions of forward-backward stochastic differential equations: Method of continuation
Forward-backward SDEs with random terminal time and applications to pricing special European-type options for a large investor
Probabilistic interpretation for a system of quasilinear parabolic partial differential equation combined with algebra equations
Linear forward-backward stochastic differential equations with random coefficients
On weak solutions of forward-backward SDEs
Near-optimal control of stochastic recursive systems via viscosity solution
Kalman-Bucy filtering equations of forward and backward stochastic systems and applications to recursive optimal control problems
Necessary condition for near optimal control of linear forward-backward stochastic differential equations
Forward-backward stochastic differential systems associated to Navier-Stokes equations in the whole space
Forward-backward stochastic differential equations and linear-quadratic generalized Stackelberg games
Title not available (Why is that?)
An optimal feedback control-strategy pair for zero-sum linear-quadratic stochastic differential game: the Riccati equation approach
A fully discrete explicit multistep scheme for solving coupled forward backward stochastic differential equations
Linear forward-backward stochastic differential equations
Consumption optimization for recursive utility in a jump-diffusion model
Forward-backward stochastic differential equation with subdifferential operator and associated variational inequality
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 global stochastic maximum principle for fully coupled forward-backward stochastic systems
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
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
On the solvability of infinite horizon forward-backward stochastic differential equations with absorption coefficients
Linear-quadratic mean field Stackelberg games with state and control delays
General linear forward and backward stochastic difference equations with applications

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