Forward-backward stochastic differential equations with stopping time

DOI10.1016/S0252-9602(17)30364-8zbMath1047.60060OpenAlexW2782885782MaRDI QIDQ1431129

Zhen Wu

Publication date: 27 May 2004

Published in: Acta Mathematica Scientia. Series B. (English Edition) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0252-9602(17)30364-8

zbMATH Keywords

comparison theoremstopping timeforward-backward stochastic differential equation

Mathematics Subject Classification ID

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

Related Items (4)

Forward-backward SDEs driven by Lévy process in stopping time duration ⋮ Optimal switching problem and system of reflected multi-dimensional FBSDEs with random terminal time ⋮ Infinite horizon Stackelberg differential games with random coefficients under control input constraint ⋮ Sufficient stochastic maximum principle for discounted control problem

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