The comparison theorem of FBSDE

DOI10.1016/S0167-7152(98)00239-9zbMath0939.60054OpenAlexW2031340254MaRDI QIDQ1962156

Zhen Wu

Publication date: 5 July 2000

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-7152(98)00239-9

zbMATH Keywords

comparison theorembackward stochastic differential equationsforward-backward stochastic differential equations

Mathematics Subject Classification ID

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

Related Items (5)

Forward-backward stochastic differential equations driven by \(G\)-Brownian motion under weakly coupling condition ⋮ Future Expectations Modeling, Random Coefficient Forward–Backward Stochastic Differential Equations, and Stochastic Viscosity Solutions ⋮ Unnamed Item ⋮ Comparison theorems for forward backward SDEs ⋮ On well-posedness of forward-backward SDEs -- a unified approach

Cites Work

• Unnamed Item
• Adapted solution of a backward stochastic differential equation
• Solving forward-backward stochastic differential equations explicitly -- a four step scheme
• Hedging options for a large investor and forward-backward SDE's
• Solution of forward-backward stochastic differential equations
• Backward Stochastic Differential Equations in Finance

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