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A type of general forward-backward stochastic differential equations and applications
10 references·0 citing·35 second hop
A type of general forward-backward stochastic differential equations and applications (2011)A type of general forward-backward stocha…Backward Stochastic Differential Equations (2013)Backward Stochastic Different…ANTICIPATED BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS 1 (2012)ANTICIPATED BACKWARD STOCHAST…Anticipated backward stochastic differential equations (2009)Anticipated backward stochast…A Delayed Black and Scholes Formula (2007)A Delayed Black and Scholes F…FORWARD-BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS, LINEAR QUADRATIC STOCHASTIC OPTIMAL CONTROL AND NONZERO SUM DIFFERENTIAL GAMES (2005)FORWARD-BACKWARD STOCHASTIC D…A maximum principle for optimal control of stochastic systems with delay, with applications to finance (2000)A maximum principle for optim…Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control (1999)Fully Coupled Forward-Backwar…Finding adapted solutions of forward–backward stochastic differential equations: method of continuation (1997)Finding adapted solutions of …Hedging options for a large investor and forward-backward SDE's (1996)Hedging options for a large i…Solution of forward-backward stochastic differential equations (1995)Solution of forward-backward …Optimum consumption and portfolio rules in a continuous-time model (1971)Maximum principle and dynamic programming approaches of the optimal control of partially observed diffusions (1983)A General Stochastic Maximum Principle for Optimal Control Problems (1990)Dynamic programming in stochastic control of systems with delay (2002)Optimal control of stochastic delay equations and time-advanced backward stochastic differential equations (2011)The stochastic maximum principle for optimal control problems of delay systems involving continuous and impulse controls (2012)Adapted solution of a backward stochastic differential equation (1990)Backward Stochastic Differential Equations in Finance (1997)On the existence and uniqueness of solutions to FBSDEs in a non-degenerate case (2002)Nonlinear Expectations, Nonlinear Evaluations and Risk Measures (2004)Probabilistic Analysis of Mean-Field Games (2013)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Stochastic delay differential equations driven by fractional Brownian motion with Hurst parameter H (2006)Brownian Motion and Stochastic Calculus (2007)Stochastic Equations with Delay: Optimal Control via BSDEs and Regular Solutions of Hamilton–Jacobi–Bellman Equations (2010)Reflected solutions of backward SDE's, and related obstacle problems for PDE's (1997)Monotonic limit theorem of BSDE and nonlinear decomposition theorem of Doob–Meyers type (1999)A Stochastic Maximum Principle for a Markov Regime-Switching Jump-Diffusion Model with Delay and an Application to Finance (2017)Brownian Motion and Stochastic Calculus. (1989)Optimality Variational Principle for Controlled Forward-Backward Stochastic Differential Equations with Mixed Initial-Terminal Conditions (2010)Backward Stochastic Differential Equation, Nonlinear Expectation and Their Applications (2011)On well-posedness of forward–backward SDEs—A unified approach (2015)Solving forward-backward stochastic differential equations explicitly — a four step scheme (1994)Forward-backward stochastic differential equations and quasilinear parabolic PDEs (1999)Backward stochastic differential equations and quasilinear parabolic partial differential equations (2005)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Numerical methods for forward-backward stochastic differential equations (1996)Optimal consumption choices for a ‘large’ investor (1998)Linear−quadratic optimal control and nonzero‐sum differential game of forward−backward stochastic system (2011)Delayed Stochastic Linear‐Quadratic Control Problem and Related Applications (2012)Maximum Principle for Nonzero-Sum Stochastic Differential Game With Delays (2014)Non-linear pricing theory and backward stochastic differential equations (1997)Representation theorems for backward stochastic differential equations (2002)Quadratic BSDEs driven by a continuous martingale and applications to the utility maximization problem (2008)
this work references cited by second hop

References

  • 1999Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control494 cited
  • 1995Solution of forward-backward stochastic differential equations402 cited
  • 1996Hedging options for a large investor and forward-backward SDE's207 cited
  • 2012ANTICIPATED BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS 1203 cited
  • 2009Anticipated backward stochastic differential equations192 cited
  • 1997Finding adapted solutions of forward–backward stochastic differential equations: method of continuation189 cited
  • 2007A Delayed Black and Scholes Formula176 cited
  • 2013Backward Stochastic Differential Equations159 cited
  • 2000A maximum principle for optimal control of stochastic systems with delay, with applications to finance117 cited
  • 2005FORWARD-BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS, LINEAR QUADRATIC STOCHASTIC OPTIMAL CONTROL AND NONZERO SUM DIFFERENTIAL GAMES46 cited

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