SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Linear ForwardBackward Stochastic Differential Equations · Study

ArticleShelves

ArticleLinear ForwardBackward Stochastic Differential Equations

Jiongmin Yong1999

Article1999

Linear ForwardBackward Stochastic Differential Equations

84 citations·0/0 files stored·Applied Mathematics & Optimization

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Stochastic processes and financial applications Nonlinear Differential Equations Analysis Fuzzy Systems and Optimization

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 84 citations exist upstream.

References

2007Brownian Motion and Stochastic Calculus 1990Adapted solution of a backward stochastic differential equation 1997Backward Stochastic Differential Equations in Finance 1994Solving forward-backward stochastic differential equations explicitly — a four step scheme 1978An Introductory Approach to Duality in Optimal Stochastic Control 1995Solution of forward-backward stochastic differential equations 1993Backward-Forward Stochastic Differential Equations 1996Hedging options for a large investor and forward-backward SDE's

Cited by

2005Linear forward-backward stochastic differential equations with random coefficients 2018Linear–quadratic stochastic two-person nonzero-sum differential games: Open-loop and closed-loop Nash equilibria 2006The wellposedness of FBSDEs 2016Uniqueness for Linear-Quadratic Mean Field Games with Common Noise 2019A Stackelberg Game of Backward Stochastic Differential Equations with Applications 2018

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

1997Non-linear pricing theory and backward stochastic differential equationschapter · 7 shared references 1999On linear, degenerate backward stochastic partial differential equationsarticle · 7 shared references 2000Infinite horizon forward–backward stochastic differential equationsarticle · 7 shared references 1997Adapted solution of a degenerate backward spde, with applicationsarticle · 7 shared references 2014Optimal Control Problems of Fully Coupled FBSDEs and Viscosity Solutions of Hamilton--Jacobi--Bellman Equationsarticle · 7 shared references 2005Linear forward-backward stochastic differential equations with random coefficientsarticle · 7 shared references

Details

Year1999

Typearticle

Published1999-01-02

VenueApplied Mathematics & Optimization

ISSN-L0095-4616

Languageen

Citations84

Files0 public / 0

ShelfStochastic processes and financial applications

Identifiers

doi10.1007/s002459900100

openalex_workW1608904064

Links

Imported from OpenAlex (CC0) — nothing here is generated.

General linear forward and backward Stochastic difference equations with applications

2000Forward–backward stochastic differential equations with nonsmooth coefficients

2022Path dependent Feynman–Kac formula for forward backward stochastic Volterra integral equations