L^p-theory of forward-backward stochastic differential equations
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\(L^p\)-theory of forward-backward stochastic differential equations
\(L^p\)-theory of forward-backward stochastic differential equations
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- L^p-solutions of backward doubly stochastic differential equations
Cites work
- \(L^p\) estimates for fully coupled FBSDEs with jumps
- L^p solutions of backward stochastic differential equations.
- A global stochastic maximum principle for fully coupled forward-backward stochastic systems
- Backward Stochastic Differential Equations in Finance
- Backward stochastic differential equations. From linear to fully nonlinear theory
- BSDE with quadratic growth and unbounded terminal value
- Finding adapted solutions of forward-backward stochastic differential equations: Method of continuation
- Forward-backward stochastic differential equations and PDE with gradient dependent second order coefficients
- Forward-backward stochastic differential equations and their applications
- Forward-backward stochastic differential equations with mixed initial-terminal conditions
- Four step scheme for general Markovian forward-backward SDEs
- Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control
- scientific article; zbMATH DE number 1325009 (Why is no real title available?)
- scientific article; zbMATH DE number 481040 (Why is no real title available?)
- scientific article; zbMATH DE number 3277871 (Why is no real title available?)
- Linear quadratic stochastic differential games: open-loop and closed-loop saddle points
- Multi-dimensional backward stochastic differential equations of diagonally quadratic generators
- On the Cauchy problem for backward stochastic partial differential equations in Hölder spaces
- On the existence and uniqueness of solutions to FBSDEs in a non-degenerate case.
- Open-loop and closed-loop solvabilities for stochastic linear quadratic optimal control problems
- Optimal control problems of fully coupled FBSDEs and viscosity solutions of Hamilton-Jacobi-Bellman equations
- Semi-linear degenerate backward stochastic partial differential equations and associated forward-backward stochastic differential equations
- Solution of forward-backward stochastic differential equations
- Solving forward-backward stochastic differential equations explicitly -- a four step scheme
- Stochastic global maximum principle for optimization with recursive utilities
- Stochastic optimal control and forward-backward stochastic differential equations
Cited in
(10)- An exploration of \(L^p\)-theory for forward-backward stochastic differential equations with random coefficients on small durations
- Two fixed point theorems in complete random normed modules and their applications to backward stochastic equations
- On well-posedness of forward-backward SDEs -- a unified approach
- Forward-backward stochastic differential equations with mixed initial-terminal conditions
- \( L^p\) estimations of fully coupled FBSDEs
- The Global Maximum Principle for Progressive Optimal Control of Partially Observed Forward-Backward Stochastic Systems with Random Jumps
- An \(L_{p }\)-theory for stochastic integral equations
- Averaging principle for multiscale forward-backward stochastic differential equations, with application to quasi-linear PDE's
- L^p-estimate for mean-field type FBSDEs
- Stochastic linear-quadratic optimal control problems with multi-dimensional state, random coefficients and regime switching
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