A note on FBSDE characterization of mean exit times

DOI10.1016/J.CRMA.2009.06.006zbMATH Open1168.60022OpenAlexW2074508712MaRDI QIDQ2272016FDOQ2272016

Authors: Cloud Makasu 

Publication date: 5 August 2009

Published in: Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.crma.2009.06.006

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Mathematics Subject Classification ID

Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Cites Work

• Backward-forward stochastic differential equations
• Backwards SDE with random terminal time and applications to semilinear elliptic PDE
• Backward stochastic differential equations and partial differential equations with quadratic growth.
• BSDE with quadratic growth and unbounded terminal value
• Utility maximization in incomplete markets
• Pricing via utility maximization and entropy.
• Probabilistic interpretation for systems of quasilinear parabolic partial differential equations
• Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control
• Backward Stochastic Differential Equations in Finance
• Adapted solution of a backward stochastic differential equation
• Backward stochastic differential equations with continuous coefficient
• Existence for BSDE with superlinear–quadratic coefficient
• Infinite horizon forward-backward stochastic differential equations
• On mean exit time from a curvilinear domain
• Solution of forward-backward stochastic differential equations
• On solutions of a class of infinite horizon FBSDEs
• On exponential hedging and related quadratic backward stochastic differential equations
• Existence, uniqueness and stability of backward stochastic differential equations with locally monotone coefficient
• Comparison theorems for forward backward SDEs
• No explosion criteria for stochastic differential equations
• Existence of the solutions of backward-forward SDE's with continuous monotone coefficients
• On existence of solutions of BSDEs with continuous coefficient

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