The wellposedness of FBSDEs

From MaRDI portal
Publication:2471406

DOI10.3934/dcdsb.2006.6.927zbMath1132.60315arXiv1708.05785OpenAlexW2963672850MaRDI QIDQ2471406

Jianfeng Zhang

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 ProblemExistence of an optimal control for a coupled FBSDE with a non degenerate diffusion coefficientForward-backward SDEs driven by Lévy process in stopping time durationA sufficient condition for optimal control problem of fully coupled forward‐backward stochastic systems with jumps: A state‐constrained control approachEigenvalues 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 equationsA class of optimal control problems of forward-backward systems with input constraintOn path-dependent multidimensional forward-backward SDEsFully-coupled mean-field FBSDE and maximum principle for related optimal control problemMarkovian-switching systems: backward and forward-backward stochastic differential equations, mean-field interactions, and nonzero-sum differential gamesThe risk-sensitive maximum principle for controlled forward-backward stochastic differential equationsWell-posedness of a class of two-point boundary value problems associated with ordinary differential equationsOn weak solutions of forward-backward SDEsExistence of an optimal control for a system driven by a degenerate coupled forward-backward stochastic differential equationsTime discretization and Markovian iteration for coupled FBSDEsMean-variance portfolio selection with correlation riskForward backward SDEs in weak formulationOn non-Markovian forward-backward SDEs and backward stochastic PDEsMaximum principle for partially-observed optimal control of fully-coupled forward-backward stochastic systemsForward-backward stochastic differential equations with mixed initial-terminal conditionsAn exploration of \(L^p\)-theory for forward-backward stochastic differential equations with random coefficients on small durationsMean-variance asset-liability management with asset correlation risk and insurance liabilitiesForward-backward stochastic differential equation with subdifferential operator and associated variational inequalityFully coupled forward–backward stochastic dynamics and functional differential systemsOptimal investment-reinsurance strategy for mean-variance insurers with square-root factor processA stochastic approach to a new type of parabolic variational inequalitiesOn forward-backward stochastic differential equations in a domination-monotonicity frameworkOn well-posedness of forward-backward SDEs -- a unified approachStochastic differential games for fully coupled FBSDEs with jumps




This page was built for publication: The wellposedness of FBSDEs