On solutions of a class of infinite horizon FBSDEs

DOI10.1016/j.spl.2008.03.002zbMath1151.60031OpenAlexW2049516241MaRDI QIDQ951188

Juliang Yin

Publication date: 30 October 2008

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2008.03.002

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integral equations (60H20)

Related Items (16)

Some properties of finite-time stable stochastic nonlinear systems ⋮ Infinite horizon optimal control problem of mean-field backward stochastic delay differential equation under partial information ⋮ Solution to the forward and backward stochastic difference equations with asymmetric information and application ⋮ Optimal switching problem and system of reflected multi-dimensional FBSDEs with random terminal time ⋮ The maximum principle for discounted optimal control of partially observed forward-backward stochastic systems with jumps on infinite horizon ⋮ Future Expectations Modeling, Random Coefficient Forward–Backward Stochastic Differential Equations, and Stochastic Viscosity Solutions ⋮ Infinite horizon optimal control of forward–backward stochastic system driven by Teugels martingales with Lévy processes ⋮ An infinite horizon stochastic maximum principle for discounted control problem with Lipschitz coefficients ⋮ Forward-backward SDEs with random terminal time and applications to pricing special European-type options for a large investor ⋮ Sufficient stochastic maximum principle for discounted control problem ⋮ A note on FBSDE characterization of mean exit times ⋮ Infinite Horizon Forward-Backward SDEs and Open-Loop Optimal Controls for Stochastic Linear-Quadratic Problems with Random Coefficients ⋮ Solvability of infinite horizon McKean-Vlasov FBSDEs in mean field control problems and games ⋮ Infinite horizon backward stochastic Volterra integral equations and discounted control problems ⋮ Infinite horizon optimal control of forward-backward stochastic differential equations with delay ⋮ Maximum principles for jump diffusion processes with infinite horizon

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