Markovian forward-backward stochastic differential equations and stochastic flows
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Cites work
- scientific article; zbMATH DE number 3879850 (Why is no real title available?)
- scientific article; zbMATH DE number 3780265 (Why is no real title available?)
- scientific article; zbMATH DE number 44587 (Why is no real title available?)
- scientific article; zbMATH DE number 140601 (Why is no real title available?)
- scientific article; zbMATH DE number 3606350 (Why is no real title available?)
- scientific article; zbMATH DE number 1066320 (Why is no real title available?)
- A PDE approach for risk measures for derivatives with regime switching
- A PDE approach to risk measures of derivatives
- Adapted solution of a backward stochastic differential equation
- Backward Stochastic Differential Equations in Finance
- Backward-forward stochastic differential equations
- Bayesian Risk Measures for Derivatives via Random Esscher Transform
- Coherent measures of risk
- Conjugate convex functions in optimal stochastic control
- Control of partially observed diffusions
- Convex measures of risk and trading constraints
- DISCONTINUOUS ASSET PRICES AND NON‐ATTAINABLE CONTINGENT CLAIMS1
- Forward-backward stochastic differential equations and their applications
- Integration by parts and densities for jump processes
- Integration by parts, homogeneous chaos expansions and smooth densities
- Martingale representation and hedging policies
- Martingale representation for contingent claims with regime switching
- Martingales, the Malliavin calculus and hypoellipticity under general H�rmander's conditions
- On Bayesian value at risk: from linear to non-linear portfolios
- On Markov‐modulated Exponential‐affine Bond Price Formulae
- Pricing and hedging contingent claims with regime switching risk
- Probabilistic interpretation for systems of quasilinear parabolic partial differential equations
- Risk measures via \(g\)-expectations
- Solution of forward-backward stochastic differential equations
- Solving forward-backward stochastic differential equations explicitly -- a four step scheme
- Stochastic flows and the forward measure
- The Partially Observed Stochastic Minimum Principle
- The optimal control of diffusions
Cited in
(10)- Fully coupled forward-backward stochastic differential equations on Markov chains
- Forward-backward stochastic differential equations and controlled McKean-Vlasov dynamics
- Hedging options in a doubly Markov-modulated financial market via stochastic flows
- Stability and Markov property of forward backward minimal supersolutions
- Small-time solvability of a flow of forward-backward stochastic differential equations
- 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
- A note on regime-switching Kolmogorov's forward and backward equations using stochastic flows
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