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On the existence and uniqueness of solutions to FBSDEs in a non-degenerate case · Study

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ArticleOn the existence and uniqueness of solutions to FBSDEs in a non-degenerate case

François Delarue2002

OA

Articlebronze2002

On the existence and uniqueness of solutions to FBSDEs in a non-degenerate case

François Delarue

267 citations·0/0 files stored·Stochastic Processes and their Applications

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

Abstract

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Citations in this library

Stored only when both papers are in the corpus — 267 citations exist upstream.

References

2007Brownian Motion and Stochastic Calculus 2006The Malliavin Calculus and Related Topics 1995The Malliavin Calculus and Related Topics 1988Brownian Motion and Stochastic Calculus 1987Limit Theorems for Stochastic Processes 2005Backward stochastic differential equations and quasilinear parabolic partial differential equations 1994Solving forward-backward stochastic differential equations explicitly — a four step scheme 2007Forward-Backward Stochastic Differential Equations and their Applications

Cited by

2015Forward–backward stochastic differential equations and controlled McKean–Vlasov dynamics 2006Second‐order backward stochastic differential equations and fully nonlinear parabolic PDEs 2012Control of McKean–Vlasov dynamics versus mean field games 2015On well-posedness of forward–backward SDEs—A unified approach 2022A Probabilistic Approach to Classical Solutions of the Master Equation for Large Population Equilibria 2006A forward–backward stochastic algorithm for quasi-linear PDEs 2009Multi-dimensional BSDE with oblique reflection and optimal switching 2013Mean field forward-backward stochastic differential equations

Details

Year2002

Typearticle

Published2002-06-01

VenueStochastic Processes and their Applications

ISSN-L0304-4149

Languageen

Citations267

Files0 public / 0

ShelfStochastic processes and financial applications

Identifiers

doi10.1016/s0304-4149(02)00085-6

openalex_workW1997481555

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