Two Equivalent Families of Linear Fully Coupled Forward Backward Stochastic Differential Equations

DOI10.1051/COCV/2022073MaRDI QIDQ5060169zbMATH OpenOpenAlexWikidataFDO

Authors Ruyi Liu, Zhen Wu, Detao Zhang

Publication date 18 January 2023

Published in ESAIM: Control, Optimisation and Calculus of Variations (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/2205.07398

zbMATH Keywords

equivalent familyforward-backward stochastic differential equationslinear quadratic problemlinear transformationwell-posedness

Mathematics Subject Classification ID

Ordinary differential equations and systems with randomness (34F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Recommendations

• Well-posedness of fully coupled linear forward-backward stochastic differential equations
• A transformation method to study the solvability of fully coupled FBSDEs
• General linear forward and backward stochastic difference equations with applications
• Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control
• Fully coupled forward-backward stochastic functional differential equations and applications to quadratic optimal control

Cites work

• Backward-forward stochastic differential equations
• Equivalent cost functionals and stochastic linear quadratic optimal control problems
• Existence theory for coupled nonlinear third-order ordinary differential equations with nonlocal multi-point anti-periodic type boundary conditions on an arbitrary domain
• Finding adapted solutions of forward-backward stochastic differential equations: Method of continuation
• Forward-backward stochastic differential equations and quasilinear parabolic PDEs
• Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control
• General Linear Quadratic Optimal Stochastic Control Problems with Random Coefficients: Linear Stochastic Hamilton Systems and Backward Stochastic Riccati Equations
• scientific article; zbMATH DE number 1325009 (Why is no real title available?)
• scientific article; zbMATH DE number 1159687 (Why is no real title available?)
• Indefinite stochastic linear quadratic control with Markovian jumps in infinite time horizon
• Linear forward-backward stochastic differential equations with random coefficients
• On multiple solutions for a fourth order nonlinear singular boundary value problems arising in epitaxial growth theory
• On well-posedness of forward-backward SDEs -- a unified approach
• Probabilistic interpretation for a system of quasilinear parabolic partial differential equation combined with algebra equations
• Solution of forward-backward stochastic differential equations
• Solving forward-backward stochastic differential equations explicitly -- a four step scheme
• Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs
• Well-posedness of fully coupled linear forward-backward stochastic differential equations

Cited in

(2)

• Well-posedness of fully coupled linear forward-backward stochastic differential equations
• A transformation method to study the solvability of fully coupled FBSDEs

This page was built for publication: Two Equivalent Families of Linear Fully Coupled Forward Backward Stochastic Differential Equations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5060169)