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

DOI10.1016/J.BULSCI.2011.04.001zbMATH Open1230.60064OpenAlexW2029860965MaRDI 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

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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)

Cites Work

• Forward-backward stochastic differential equations and their applications
• Forward-backward stochastic differential equations and quasilinear parabolic PDEs
• Backward-forward stochastic differential equations
• Solving forward-backward stochastic differential equations explicitly -- a four step scheme
• Backwards SDE with random terminal time and applications to semilinear elliptic PDE
• Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control
• Infinite horizon forward-backward stochastic differential equations
• Hedging options for a large investor and forward-backward SDE's
• Solution of forward-backward stochastic differential equations
• Finding adapted solutions of forward-backward stochastic differential equations: Method of continuation
• On Solutions of Forward‐Backward Stochastic Differential Equations with Poisson Jumps
• The adapted solution and comparison theorem for backward stochastic differential equations with Poisson jumps and applications
• On solutions of a class of infinite horizon FBSDEs
• Solvability of forward-backward SDEs and the nodal set of Hamilton- Jacobi-Bellman equations
• Forward-backward stochastic differential equations with nonsmooth coefficients.
• Title not available (Why is that?)

Cited In (6)

• Forward-backward stochastic differential equations and their applications
• 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
• On Solutions of Forward‐Backward Stochastic Differential Equations with Poisson Jumps
• Edge universality of correlation matrices
• Infinite Horizon Forward-Backward SDEs and Open-Loop Optimal Controls for Stochastic Linear-Quadratic Problems with Random Coefficients

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