scientific article; zbMATH DE number 7793068
From MaRDI portal
Publication:6181967
Publication date: 23 January 2024
Full work available at URL: http://aps.ecnu.edu.cn/EN/10.3969/j.issn.1001-4268.2023.03.007
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
stochastic controlbackward stochastic differential equationspartial differential equationsunified approachforward backward stochastic differential equations
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic systems in control theory (general) (93E03) Stochastic integrals (60H05) Stochastic integral equations (60H20)
Cites Work
- Unnamed Item
- Probabilistic interpretation for a system of quasilinear parabolic partial differential equation combined with algebra equations
- The steepest descent method for forward-backward SDEs
- Comparison theorems for forward backward SDEs
- Adapted solution of a degenerate backward SPDE, with applications
- On linear, degenerate backward stochastic partial differential equations
- Forward-backward stochastic differential equations and quasilinear parabolic PDEs
- Backward-forward stochastic differential equations
- Solving forward-backward stochastic differential equations explicitly -- a four step scheme
- Finding adapted solutions of forward-backward stochastic differential equations: Method of continuation
- On the existence and uniqueness of solutions to FBSDEs in a non-degenerate case.
- Hedging options for a large investor and forward-backward SDE's
- Solution of forward-backward stochastic differential equations
- The comparison theorem of FBSDE
- On well-posedness of forward-backward SDEs -- a unified approach
- Well-posedness of fully coupled linear forward-backward stochastic differential equations
- A General Stochastic Maximum Principle for Optimal Control Problems
- Stochastic Differential Utility
- Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control
- Backward Stochastic Differential Equations in Finance
- Hedging contingent claims for a large investor in an incomplete market
This page was built for publication:
