Approximate solvability of forward-backward stochastic differential equations

DOI10.1007/s00245-001-0025-7zbMath0996.60075OpenAlexW1492846080MaRDI QIDQ5956450

Jiong-min Yong, Jin Ma

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

approximate adapted solutionapproximate solvabilityforward-backward stochastic differential equationnodal set

Mathematics Subject Classification ID

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

Related Items (7)

Forward-backward stochastic differential equations with nonsmooth coefficients. ⋮ Stochastic Saddle Paths and Economic Theory ⋮ Forward-backward stochastic differential equations: initiation, development and beyond ⋮ Forward-backward linear quadratic stochastic optimal control problem with delay ⋮ Existence of optimal controls for systems driven by FBSDEs ⋮ A First Order Scheme for Backward Doubly Stochastic Differential Equations ⋮ A first order semi-discrete algorithm for backward doubly stochastic differential equations

This page was built for publication: Approximate solvability of forward-backward stochastic differential equations