Four step scheme for general Markovian forward-backward SDEs
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forward-backward stochastic differential equationsfour step schemeparabolic integro-partial differential equationsstrong Markov semi-martingales
Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) PDEs with randomness, stochastic partial differential equations (35R60)
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Cites work
- scientific article; zbMATH DE number 3842916 (Why is no real title available?)
- scientific article; zbMATH DE number 4050658 (Why is no real title available?)
- scientific article; zbMATH DE number 45955 (Why is no real title available?)
- scientific article; zbMATH DE number 1834045 (Why is no real title available?)
- scientific article; zbMATH DE number 933357 (Why is no real title available?)
- Adapted solution of a backward stochastic differential equation
- An extension of clark' formula
- Backward-forward stochastic differential equations
- Finding adapted solutions of forward-backward stochastic differential equations: Method of continuation
- Forward-backward stochastic differential equations and their applications
- Fully coupled FBSDE with Brownian motion and Poisson process in stopping time duration
- Malliavin's calculus and stochastic integral representations of functional of diffusion processes†
- On Solutions of Forward‐Backward Stochastic Differential Equations with Poisson Jumps
- On the existence and uniqueness of solutions to FBSDEs in a non-degenerate case.
- On the integral representation of functionals of ltd processest
- Semimartingales and Markov processes
- Solution of forward-backward stochastic differential equations
- Solvability of forward-backward SDEs and the nodal set of Hamilton- Jacobi-Bellman equations
- Solving forward-backward stochastic differential equations explicitly -- a four step scheme
Cited in
(10)- Forward-backward stochastic differential equations: initiation, development and beyond
- Markovian forward-backward stochastic differential equations and stochastic flows
- \(L^p\)-theory of forward-backward stochastic differential equations
- Equilibrium model of limit order books: a mean-field game view
- Existence of global solutions for multi-dimensional coupled FBSDEs with diagonally quadratic generators
- Forward-backward stochastic differential equations and their applications
- Continuity problem for BSDE and IPDE with singular terminal condition
- Open-loop equilibriums for a general class of time-inconsistent stochastic optimal control problems
- Backward stochastic Volterra integral equations -- representation of adapted solutions
- Integro-partial differential equations with singular terminal condition
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