Going forward \& backward with Jin Ma

DOI10.3934/NACO.2023005MaRDI QIDQ6164083zbMATH OpenOpenAlexFDO

Authors Philip Protter

Publication date 26 July 2023

Published in Numerical Algebra, Control and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3934/naco.2023005

Mathematics Subject Classification ID

Biographies, obituaries, personalia, bibliographies (01A70)

Cites work

• Backward-forward stochastic differential equations
• Black's consol rate conjecture
• Numerical methods for forward-backward stochastic differential equations
• Path regularity for solutions of backward stochastic differential equations
• Representation theorems for 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
• Weak Solutions of Forward–Backward SDE's

Cited in

(1)

• scientific article; zbMATH DE number 221857 (Why is no real title available?)

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