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Forward–backward stochastic differential equations with nonsmooth coefficients · Study

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ArticleForward–backward stochastic differential equations with nonsmooth coefficients

Ying Hu2000

OA

Articlebronze2000

Forward–backward stochastic differential equations with nonsmooth coefficients

Ying Hu · Jiongmin Yong

26 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

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References

1990Adapted solution of a backward stochastic differential equation 1997Backward Stochastic Differential Equations in Finance 1992Stochastic Differential Utility 1994Solving forward-backward stochastic differential equations explicitly — a four step scheme 1991Probabilistic interpretation for systems of quasilinear parabolic partial differential equations 1992Asset Pricing with Stochastic Differential Utility 1995Solution of forward-backward stochastic differential equations 1993Backward-Forward Stochastic Differential Equations

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2004Existence of Optimal Stochastic Controls and Global Solutions of Forward-Backward Stochastic Differential Equations

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Year2000

Typearticle

Published2000-05-01

VenueStochastic Processes and their Applications

ISSN-L0304-4149

Languageen

Citations26

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/s0304-4149(99)00106-4

openalex_workW1998742212

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