Forward-backward stochastic differential equations: initiation, development and beyond (Q6164084)

scientific article; zbMATH DE number 7719441

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English	Forward-backward stochastic differential equations: initiation, development and beyond	scientific article; zbMATH DE number 7719441

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instance of

scholarly article

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title

Forward-backward stochastic differential equations: initiation, development and beyond (English)

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author

Jiong-min Yong

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published in

Numerical Algebra, Control and Optimization

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publication date

26 July 2023

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zbMATH Keywords

forward-backward stochastic differential equation

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four-step scheme

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backward stochastic partial differential equations

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martingale problem

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representation theorem

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.3934/naco.2022011

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cites work

Backward-forward stochastic differential equations

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Weak Solutions of Forward–Backward SDE's

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INVARIANT IMBEDDING AND THE REDUCTION OF TWO-POINT BOUNDARY VALUE PROBLEMS TO INITIAL VALUE PROBLEMS

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An Introductory Approach to Duality in Optimal Stochastic Control

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Forward-backward SDEs with discontinuous coefficients

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Hedging options for a large investor and forward-backward SDE's

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Reflected forward-backward SDEs and obstacle problems with boundary conditions

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On the existence and uniqueness of solutions to FBSDEs in a non-degenerate case.

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Numerical methods for forward-backward stochastic differential equations

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Backward stochastic partial differential equations with quadratic growth

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\(W^{m,p}\)-solution (\(p\geqslant 2\)) of linear degenerate backward stochastic partial differential equations in the whole space

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Stochastic Differential Utility

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Semi-linear degenerate backward stochastic partial differential equations and associated forward-backward stochastic differential equations

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Black's consol rate conjecture

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Deep learning-based numerical methods for high-dimensional parabolic partial differential equations and backward stochastic differential equations

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Backward Stochastic Differential Equations in Finance

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Space-Time Approach to Non-Relativistic Quantum Mechanics

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Nonlinear Feynman-Kac formula and discrete-functional-type BSDEs with continuous coeffi\-cients

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Solution of forward-backward stochastic differential equations

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On semi-linear degenerate backward stochastic partial differential equations

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On Distributions of Certain Wiener Functionals

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Numerical method for backward stochastic differential equations

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Solving forward-backward stochastic differential equations explicitly -- a four step scheme

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On Numerical Approximations of Forward-Backward Stochastic Differential Equations

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On variant reflected backward SDEs, with applications

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On well-posedness of forward-backward SDEs -- a unified approach

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On non-Markovian forward-backward SDEs and backward stochastic PDEs

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Solvability of forward-backward SDEs and the nodal set of Hamilton- Jacobi-Bellman equations

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Adapted solution of a degenerate backward SPDE, with applications

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On linear, degenerate backward stochastic partial differential equations

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Forward-backward stochastic differential equations and their applications

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Approximate solvability of forward-backward stochastic differential equations

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Four step scheme for general Markovian forward-backward SDEs

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Representation theorems for backward stochastic differential equations

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Path regularity for solutions of backward stochastic differential equations

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Representations and regularities for solutions to BSDEs with reflections

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On weak solutions of forward-backward SDEs

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Weak solutions for forward-backward SDEs-a martingale problem approach

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Adapted solution of a backward stochastic differential equation

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A General Stochastic Maximum Principle for Optimal Control Problems

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A Continuous-Time Version of the Principal–Agent Problem

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Finding adapted solutions of forward-backward stochastic differential equations: Method of continuation

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A numerical scheme for BSDEs

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Identifiers

zbMATH Open document ID

1515.60227

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DOI

10.3934/naco.2022011

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:6164084