Forward-backward stochastic differential equation: A useful tool for mathematical finance and other related fields

zbMATH Open1007.60054MaRDI QIDQ698263FDOQ698263

Authors: Jiongmin Yong 

Publication date: 21 October 2002

Published in: Surveys on Mathematics for Industry (Search for Journal in Brave)

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zbMATH Keywords

backward stochastic differential equationforward-backward stochastic differential equationstochastic controlmathematical finance

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Financial applications of other theories (91G80) Optimal stochastic control (93E20)

Cited In (7)

• Forward-backward stochastic differential equations and their applications
• Forward-backward stochastic differential equations: initiation, development and beyond
• Theory of forward backward stochastic differential equations and its applications
• BSDEs and applications
• Nonparametric estimation for FBSDEs models with applications in finance
• Singular FBSDEs and scalar conservation laws driven by diffusion processes
• Title not available (Why is that?)

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