The wellposedness of FBSDEs
From MaRDI portal
Publication:2471406
DOI10.3934/dcdsb.2006.6.927zbMath1132.60315arXiv1708.05785OpenAlexW2963672850MaRDI QIDQ2471406
Publication date: 22 February 2008
Published in: Discrete and Continuous Dynamical Systems. Series B (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1708.05785
Related Items (30)
Control in Hilbert Space and First-Order Mean Field Type Problem ⋮ Existence of an optimal control for a coupled FBSDE with a non degenerate diffusion coefficient ⋮ Forward-backward SDEs driven by Lévy process in stopping time duration ⋮ A sufficient condition for optimal control problem of fully coupled forward‐backward stochastic systems with jumps: A state‐constrained control approach ⋮ Eigenvalues of stochastic Hamiltonian systems with boundary conditions and its application ⋮ \( L^p\) estimations of fully coupled FBSDEs ⋮ \(L^p\)-estimate for linear forward-backward stochastic differential equations ⋮ A class of optimal control problems of forward-backward systems with input constraint ⋮ On path-dependent multidimensional forward-backward SDEs ⋮ Fully-coupled mean-field FBSDE and maximum principle for related optimal control problem ⋮ Markovian-switching systems: backward and forward-backward stochastic differential equations, mean-field interactions, and nonzero-sum differential games ⋮ The risk-sensitive maximum principle for controlled forward-backward stochastic differential equations ⋮ Well-posedness of a class of two-point boundary value problems associated with ordinary differential equations ⋮ On weak solutions of forward-backward SDEs ⋮ Existence of an optimal control for a system driven by a degenerate coupled forward-backward stochastic differential equations ⋮ Time discretization and Markovian iteration for coupled FBSDEs ⋮ Mean-variance portfolio selection with correlation risk ⋮ Forward backward SDEs in weak formulation ⋮ On non-Markovian forward-backward SDEs and backward stochastic PDEs ⋮ Maximum principle for partially-observed optimal control of fully-coupled forward-backward stochastic systems ⋮ Forward-backward stochastic differential equations with mixed initial-terminal conditions ⋮ An exploration of \(L^p\)-theory for forward-backward stochastic differential equations with random coefficients on small durations ⋮ Mean-variance asset-liability management with asset correlation risk and insurance liabilities ⋮ Forward-backward stochastic differential equation with subdifferential operator and associated variational inequality ⋮ Fully coupled forward–backward stochastic dynamics and functional differential systems ⋮ Optimal investment-reinsurance strategy for mean-variance insurers with square-root factor process ⋮ A stochastic approach to a new type of parabolic variational inequalities ⋮ On forward-backward stochastic differential equations in a domination-monotonicity framework ⋮ On well-posedness of forward-backward SDEs -- a unified approach ⋮ Stochastic differential games for fully coupled FBSDEs with jumps
This page was built for publication: The wellposedness of FBSDEs