L^p-theory of forward-backward stochastic differential equations

DOI10.4064/BC122-15MaRDI QIDQ4989155zbMATH OpenOpenAlexFDO

Authors Jiongmin Yong

Publication date 20 May 2021

Published in Banach Center Publications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.4064/bc122-15

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Linear optimal control problems (49N05)

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Cites work

• 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?)
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• Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control
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• 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
• \(L^p\) estimates for fully coupled FBSDEs with jumps
• \(L^p\) solutions of backward stochastic differential equations.

Cited in

(7)

• Two fixed point theorems in complete random normed modules and their applications to backward stochastic equations
• The Global Maximum Principle for Progressive Optimal Control of Partially Observed Forward-Backward Stochastic Systems with Random Jumps
• 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
• An \(L_{p }\)-theory for stochastic integral equations
• On well-posedness of forward-backward SDEs -- a unified approach
• \( L^p\) estimations of fully coupled FBSDEs

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