Markovian forward-backward stochastic differential equations and stochastic flows

DOI10.1016/J.SYSCONLE.2012.04.013zbMATH Open1273.60067OpenAlexW1968807490MaRDI QIDQ360694FDOQ360694

Tak Kuen Siu, Robert J. Elliott

Publication date: 27 August 2013

Published in: Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL: http://www.sciencedirect.com/science/article/pii/S016769111200134X

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zbMATH Keywords

martingale representationconvex risk measuresMarkovian forward-backward stochastic differential equationsspecial semimartingalestochasticflows

Mathematics Subject Classification ID

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

Cites Work

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Cited In (7)

• Fully coupled forward-backward stochastic differential equations on Markov chains
• Forward-backward stochastic differential equations and controlled McKean-Vlasov dynamics
• Forward and backward Markovian state space models of second order process
• Optimal investment in multidimensional Markov-modulated affine models
• A functional Itô's calculus approach to convex risk measures with jump diffusion
• Stochastic flows and the forward measure
• HEDGING OPTIONS IN A DOUBLY MARKOV-MODULATED FINANCIAL MARKET VIA STOCHASTIC FLOWS

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