A type of general forward-backward stochastic differential equations and applications

DOI10.1007/s11401-011-0631-xzbMath1218.60047OpenAlexW2014999764MaRDI QIDQ545411

Zhen Wu, Li Chen

Publication date: 22 June 2011

Published in: Chinese Annals of Mathematics. Series B (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11401-011-0631-x

zbMATH Keywords

forward-backward stochastic differential equationsanticipated backward stochastic differential equationslinear-quadratic stochastic optimal control with delaynonzero sum stochastic differential game with delaystochastic delayed differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)

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Cites Work

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• Forward-backward stochastic differential equations, linear quadratic stochastic optimal control and nonzero sum differential games
• A Delayed Black and Scholes Formula
• Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control

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