Forward-backward SDEs with random terminal time and applications to pricing special European-type options for a large investor

DOI10.1016/J.BULSCI.2011.04.001zbMATH1230.60064OpenAlexW2029860965MaRDI QIDQ653653FDOQ653653

Authors Juliang Yin

Publication date 19 December 2011

Published in Bulletin des Sciences Mathématiques (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.bulsci.2011.04.001

zbMATH Keywords

contingent claimslarge investorforward-backward stochastic differential equationsadapted solutionsFBSDEs

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Microeconomic theory (price theory and economic markets) (91B24) Stochastic integral equations (60H20)

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Cites work

• scientific article; zbMATH DE number 2163934 (Why is no real title available?)
• Backward-forward stochastic differential equations
• Backwards SDE with random terminal time and applications to semilinear elliptic PDE
• Finding adapted solutions of forward-backward stochastic differential equations: Method of continuation
• Forward-backward stochastic differential equations and quasilinear parabolic PDEs
• Forward-backward stochastic differential equations and their applications
• Forward-backward stochastic differential equations with nonsmooth coefficients.
• Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control
• Hedging options for a large investor and forward-backward SDE's
• Infinite horizon forward-backward stochastic differential equations
• On Solutions of Forward‐Backward Stochastic Differential Equations with Poisson Jumps
• On solutions of a class of infinite horizon FBSDEs
• 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
• The adapted solution and comparison theorem for backward stochastic differential equations with Poisson jumps and applications

Cited in

(6)

• Edge universality of correlation matrices
• A note on FBSDE characterization of mean exit times
• The maximum principle for discounted optimal control of partially observed forward-backward stochastic systems with jumps on infinite horizon
• Infinite horizon forward-backward SDEs and open-loop optimal controls for stochastic linear-quadratic problems with random coefficients
• Forward-backward stochastic differential equations and their applications
• On Solutions of Forward‐Backward Stochastic Differential Equations with Poisson Jumps

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