Markovian forward-backward stochastic differential equations and stochastic flows

DOI10.1016/j.sysconle.2012.04.013zbMath1273.60067OpenAlexW1968807490MaRDI QIDQ360694

Tak Kuen Siu, Robert J. Elliott

Publication date: 27 August 2013

Published in: Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL: http://www.sciencedirect.com/science/article/pii/S016769111200134X

zbMATH Keywords

martingale representationconvex risk measuresMarkovian forward-backward stochastic differential equationsspecial semimartingalestochasticflows

Mathematics Subject Classification ID

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

Related Items (3)

A functional Itô's calculus approach to convex risk measures with jump diffusion ⋮ Optimal investment in multidimensional Markov-modulated affine models ⋮ HEDGING OPTIONS IN A DOUBLY MARKOV-MODULATED FINANCIAL MARKET VIA STOCHASTIC FLOWS

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