Approximate solvability of forward-backward stochastic differential equations

DOI10.1007/S00245-001-0025-7MaRDI QIDQ5956450zbMATH OpenOpenAlexFDO

Authors Jin Ma, Jiongmin Yong

Publication date 31 October 2002

Published in Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00245-001-0025-7

zbMATH Keywords

forward-backward stochastic differential equationnodal setapproximate solvabilityapproximate adapted solution

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Ordinary differential equations and systems with randomness (34F05) PDEs with randomness, stochastic partial differential equations (35R60) Optimal stochastic control (93E20)

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(12)

• A first order semi-discrete algorithm for backward doubly stochastic differential equations
• Forward-backward stochastic differential equations with nonsmooth coefficients.
• A first order scheme for backward doubly stochastic differential equations
• Forward-backward stochastic differential equations and their applications
• Forward-backward stochastic differential equations: initiation, development and beyond
• Limit theorems for BSDE with local time applications to non-linear PDE
• Forward-backward linear quadratic stochastic optimal control problem with delay
• Approximation of the solution of the backward stochastic differential equation. Small noise, large sample and high frequency cases
• Existence of optimal controls for systems driven by FBSDEs
• Solution of forward-backward stochastic differential equations
• Linear forward-backward stochastic differential equations with random coefficients
• Stochastic saddle paths and economic theory

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