Backward stochastic differential equations with rank-based data
type: Item
instance of: scholarly article
title: Backward stochastic differential equations with rank-based data
zbMATH Open document ID: 1390.60202
author: Zhen-Qing Chen
author: Xinwei Feng
published in: Science China. Mathematics
publication date: 2018-03-16T00:00:00Z
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 60H30
Mathematics Subject Classification ID: 35K55
zbMATH DE Number: 6850820
zbMATH Keywords: backward stochastic differential equations
zbMATH Keywords: ranked particles
zbMATH Keywords: named particles
zbMATH Keywords: reflected Brownian motion
zbMATH Keywords: partial differential equations
zbMATH Keywords: viscosity solution
MaRDI profile type: Publication
full work available at URL: s11425-017-9125-6
OpenAlex ID: W2772772439
cites work: Local times of ranked continuous semimartingales
cites work: Uniqueness for diffusions with piecewise constant coefficients
cites work: Conjugate convex functions in optimal stochastic control
cites work: A phase transition behavior for Brownian motions interacting through their ranks
cites work: Ambiguity, Risk, and Asset Returns in Continuous Time
cites work: On the Uniqueness in Law and the Pathwise Uniqueness for Stochastic Differential Equations
cites work: User’s guide to viscosity solutions of second order partial differential equations
cites work: Hedging options for a large investor and forward-backward SDE's
cites work: Backward Stochastic Differential Equations in Finance
cites work: Planar diffusions with rank-based characteristics and perturbed Tanaka equations
cites work: On Stochastic Differential Equations with Locally Unbounded Drift
cites work: Martingales and stochastic integrals in the theory of continuous trading
cites work: Reflected Brownian motion on an orthant
cites work: Strong solutions of stochastic equations with rank-based coefficients
cites work: Convergence rates for rank-based models with applications to portfolio theory
cites work: Q3959169
cites work: Capital distribution and portfolio performance in the mean-field Atlas model
cites work: Q3792001
cites work: Stochastic Portfolio Theory: an Overview
cites work: Systems of Brownian particles with asymmetric collisions
cites work: Diverse market models of competing Brownian particles with splits and mergers
cites work: Q4379369
cites work: Adapted solution of a backward stochastic differential equation
cites work: Q4029028
cites work: Generalized BSDEs and nonlinear Neumann boundary value problems
cites work: Triple and simultaneous collisions of competing Brownian particles
cites work: Competing particle systems evolving by interacting Lévy processes
cites work: Q4842997
DOI: 10.1007/S11425-017-9125-6
description: scientific article; zbMATH DE number 6850820