Fully coupled forward–backward stochastic dynamics and functional differential systems
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Publication:5251124
DOI10.1142/S0219493715500069zbMath1314.60112arXiv1112.4978MaRDI QIDQ5251124
Gechun Liang, Matteo Casserini
Publication date: 22 May 2015
Published in: Stochastics and Dynamics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1112.4978
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic functional-differential equations (34K50) Stochastic systems in control theory (general) (93E03)
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Cites Work
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- Backward Stochastic Differential Equations in Finance
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