A class of quadratic forward-backward stochastic differential equations
DOI10.1016/j.jmaa.2022.126100zbMath1494.60067OpenAlexW4297423175WikidataQ115345839 ScholiaQ115345839MaRDI QIDQ2147795
Rhoss Likibi Pellat, Olivier Menoukeu Pamen, Youssef Ouknine
Publication date: 20 June 2022
Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmaa.2022.126100
Malliavin calculuslocal timequasi-linear partial differential equationItô-Krylov formula for backward stochastic differential equationsquadratic forward-backward stochastic differential equation
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30)
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Cites Work
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