Solutions to general forward-backward doubly stochastic differential equations

DOI10.1007/s10483-009-0412-xzbMath1166.60318OpenAlexW2077881790MaRDI QIDQ1030383

Xian-jun Gong, Yu-feng Shi, Qing-Feng Zhu

Publication date: 1 July 2009

Published in: Applied Mathematics and Mechanics. (English Edition) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10483-009-0412-x

zbMATH Keywords

method of continuation\(H\)-monotoneforward-backward doubly stochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integral equations (60H20)

Related Items (7)

Nonzero-sum differential game of backward doubly stochastic systems with delay and applications ⋮ Infinite horizon backward doubly stochastic differential equations with non-degenerate terminal functions and their stationary property ⋮ Existence and uniqueness of the solutions of forward-backward doubly stochastic differential equations with Poisson jumps ⋮ Forward-backward doubly stochastic differential equations and related stochastic partial differential equations ⋮ Stochastic PDEs and infinite horizon backward doubly stochastic differential equations ⋮ Mean-field forward-backward doubly stochastic differential equations and related nonlocal stochastic partial differential equations ⋮ Infinite horizon forward-backward doubly stochastic differential equations and related SPDEs

Cites Work

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• Conjugate convex functions in optimal stochastic control
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• Infinite horizon forward-backward stochastic differential equations
• Problem of eigenvalues of stochastic Hamiltonian systems with boundary conditions.
• Solution of forward-backward stochastic differential equations
• Probabilistic interpretation for systems of quasilinear parabolic partial differential equations
• Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control
• Backward Stochastic Differential Equations in Finance
• Singularly perturbed boundary value problems

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