Forward-backward doubly stochastic differential equations and related stochastic partial differential equations
From MaRDI portal
Publication:1934378
DOI10.1007/s11425-012-4411-1zbMath1305.60050arXiv1005.2474OpenAlexW1979215910MaRDI QIDQ1934378
Publication date: 28 January 2013
Published in: Science China. Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1005.2474
stochastic partial differential equationsbridgemeasurable solutionforward-backward doubly stochastic differential equations
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)
Related Items
Nonzero-sum differential game of backward doubly stochastic systems with delay and applications ⋮ Backward doubly stochastic equations with jumps and comparison theorems ⋮ Sufficient Conditions of Optimality for Forward-Backward Doubly SDEs with Jumps ⋮ Existence and uniqueness of the solutions of forward-backward doubly stochastic differential equations with Poisson jumps ⋮ Necessary and sufficient optimality conditions for relaxed and strict control of forward-backward doubly SDEs with jumps under full and partial information ⋮ Mean-field forward-backward doubly stochastic differential equations and related nonlocal stochastic partial differential equations ⋮ P-moment stability under small Gauss type random excitation of stochastic system ⋮ \(p\)-moment stability of power system under small Gauss type random excitation ⋮ Infinite horizon forward-backward doubly stochastic differential equations and related SPDEs
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- A maximum principle for partially observed optimal control of forward-backward stochastic control systems
- Adapted solution of a backward stochastic differential equation
- Limit theorem and uniqueness theorem of backward stochastic differential equations
- Stochastic PDIEs with nonlinear Neumann boundary conditions and generalized backward doubly stochastic differential equations driven by Lévy processes
- Solutions to general forward-backward doubly stochastic differential equations
- A maximum principle for optimal control problem of fully coupled forward-backward stochastic systems with partial information
- Stochastic calculus with anticipating integrands
- Forward-backward stochastic differential equations and quasilinear parabolic PDEs
- Backward-forward stochastic differential equations
- Backward doubly stochastic differential equations and systems of quasilinear SPDEs
- Solving forward-backward stochastic differential equations explicitly -- a four step scheme
- Finding adapted solutions of forward-backward stochastic differential equations: Method of continuation
- Backwards SDE with random terminal time and applications to semilinear elliptic PDE
- Generalized BSDEs and nonlinear Neumann boundary value problems
- A type of time-symmetric forward-backward stochastic differential equations
- Infinite horizon forward-backward stochastic differential equations
- Hedging options for a large investor and forward-backward SDE's
- Solution of forward-backward stochastic differential equations
- Stationary solutions of SPDEs and infinite horizon BDSDEs with non-Lipschitz coefficients
- Stochastic PDIEs and backward doubly stochastic differential equations driven by Lévy processes
- Stationary solutions of SPDEs and infinite horizon BDSDEs
- Maximum Principle for Backward Doubly Stochastic Control Systems with Applications
- Probabilistic interpretation for systems of quasilinear parabolic partial differential equations
- Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control
- Weak solutions for SPDE's and backward doubly stochastic differential equations