Fully coupled forward–backward stochastic dynamics and functional differential systems

DOI10.1142/S0219493715500069zbMath1314.60112arXiv1112.4978MaRDI QIDQ5251124

Gechun Liang, Matteo Casserini

Publication date: 22 May 2015

Published in: Stochastics and Dynamics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1112.4978

zbMATH Keywords

functional differential equationsforward-backward stochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic functional-differential equations (34K50) Stochastic systems in control theory (general) (93E03)

Related Items (2)

Pseudo linear pricing rule for utility indifference valuation ⋮ Forward-backward stochastic equations: a functional fixed point approach

Cites Work

• FBDEs with time delayed generators: \(L^{p}\)-solutions, differentiability, representation formulas and path regularity
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• Backward stochastic differential equations with time delayed generators -- results and counterexamples
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• Forward-backward stochastic differential equations and quasilinear parabolic PDEs
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• Solving forward-backward stochastic differential equations explicitly -- a four step scheme
• Finding adapted solutions of forward-backward stochastic differential equations: Method of continuation
• Conjugate convex functions in optimal stochastic control
• On the existence and uniqueness of solutions to FBSDEs in a non-degenerate case.
• Solution of forward-backward stochastic differential equations
• The wellposedness of FBSDEs
• Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control
• Backward Stochastic Differential Equations in Finance

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