\(L^p\) estimates for fully coupled FBSDEs with jumps
From MaRDI portal
Publication:2436790
DOI10.1016/j.spa.2013.12.005zbMath1296.60153arXiv1302.0936OpenAlexW2069509892MaRDI QIDQ2436790
Publication date: 26 February 2014
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1302.0936
Related Items (20)
Mean-field SDEs with jumps and nonlocal integral-PDEs ⋮ Mean-field forward and backward SDEs with jumps and associated nonlocal quasi-linear integral-PDEs ⋮ Strong Convergence to the Mean Field Limit of a Finite Agent Equilibrium ⋮ Sobolev space weak solutions to one kind of quasilinear parabolic partial differential equations related to forward-backward stochastic differential equations ⋮ Reinforcement Learning for Linear-Convex Models with Jumps via Stability Analysis of Feedback Controls ⋮ Equilibrium price in intraday electricity markets ⋮ A sufficient condition for optimal control problem of fully coupled forward‐backward stochastic systems with jumps: A state‐constrained control approach ⋮ \( L^p\) estimations of fully coupled FBSDEs ⋮ \(L^p\)-estimate for linear forward-backward stochastic differential equations ⋮ The Global Maximum Principle for Progressive Optimal Control of Partially Observed Forward-Backward Stochastic Systems with Random Jumps ⋮ \(\mathbb{L}^p\) \((p\geq 2)\)-solutions of generalized BSDEs with jumps and monotone generator in a general filtration ⋮ \(L^p\) solution of backward stochastic differential equations driven by a marked point process ⋮ Maximum principle for a stochastic delayed system involving terminal state constraints ⋮ An exploration of \(L^p\)-theory for forward-backward stochastic differential equations with random coefficients on small durations ⋮ BSDEs with monotone generator driven by Brownian and Poisson noises in a general filtration ⋮ Asymptotics for FBSDES with Jumps and Connections with Partial Integral Differential Equations ⋮ $L^p$-theory of forward-backward stochastic differential equations ⋮ Probabilistic interpretation of a system of coupled Hamilton-Jacobi-Bellman-Isaacs equations ⋮ A global maximum principle for optimal control of general mean-field forward-backward stochastic systems with jumps ⋮ Stochastic differential games for fully coupled FBSDEs with jumps
Cites Work
- Unnamed Item
- Adapted solution of a backward stochastic differential equation
- Stochastic representation for solutions of Isaacs' type integral-partial differential equations
- Stochastic optimization theory of backward stochastic differential equations with jumps and viscosity solutions of Hamilton-Jacobi-Bellman equations
- Forward-backward stochastic differential equations and their applications
- Forward-backward stochastic differential equations and quasilinear parabolic PDEs
- Backward-forward stochastic differential equations
- Solving forward-backward stochastic differential equations explicitly -- a four step scheme
- Conjugate convex functions in optimal stochastic control
- On the existence and uniqueness of solutions to FBSDEs in a non-degenerate case.
- Forward-backward stochastic differential equations with Brownian motion and Poisson process
- Solution of forward-backward stochastic differential equations
- On well-posedness of forward-backward SDEs -- a unified approach
- Stochastic differential games for fully coupled FBSDEs with jumps
- Backward stochastic differential equations and integral-partial differential equations
- Optimal Control Problems of Fully Coupled FBSDEs and Viscosity Solutions of Hamilton--Jacobi--Bellman Equations
- Probabilistic interpretation for systems of quasilinear parabolic partial differential equations
- A Generalized dynamic programming principle and hamilton-jacobi-bellman equation
- Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control
- Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
- Backward Stochastic Differential Equations in Finance
- Fully coupled FBSDE with Brownian motion and Poisson process in stopping time duration
This page was built for publication: \(L^p\) estimates for fully coupled FBSDEs with jumps
