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Optimal control problems of forward-backward stochastic Volterra integral equations
16 references·7 citing·33 second hop
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this work references cited by second hop

References

  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 1999Stochastic controls : Hamiltonian systems and HJB equations1,780 cited
  • 1999Stochastic Controls1,243 cited
  • 1992Stochastic Differential Utility1,165 cited
  • 1992Picoeconomics: The Strategic Interaction of Successive Motivational States within the Person855 cited
  • 1990A General Stochastic Maximum Principle for Optimal Control Problems800 cited
  • 2007Forward-Backward Stochastic Differential Equations and their Applications675 cited
  • 1993Backward stochastic differential equations and applications to optimal control401 cited
  • 1999Forward-Backward Stochastic Differential Equations and Their Applications258 cited
  • 2006Backward stochastic Volterra integral equations and some related problems125 cited
  • 2007Well-posedness and regularity of backward stochastic Volterra integral equations107 cited
  • 2002Adapted solution of a backward stochastic nonlinear Volterra integral equation92 cited
  • 1990Stochastic Volterra Equations with Anticipating Coefficients89 cited
  • 2007Continuous-time dynamic risk measures by backward stochastic Volterra integral equations61 cited
  • 2013Mean-field backward stochastic Volterra integral equations

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48 cited
  • 2007NON-LIPSCHITZ BACKWARD STOCHASTIC VOLTERRA TYPE EQUATIONS WITH JUMPS45 cited
  • Cited by

    • 2019Recursive Utility Processes, Dynamic Risk Measures and Quadratic Backward Stochastic Volterra Integral Equations38 cited
    • 2021Time-inconsistent stochastic optimal control problems and backward stochastic volterra integral equations32 cited
    • 2020Backward doubly stochastic Volterra integral equations and their applications30 cited
    • 2017Linear quadratic control problems of stochastic Volterra integral equations27 cited
    • 2020Extended backward stochastic Volterra integral equations, Quasilinear parabolic equations, and Feynman–Kac formula26 cited
    • 2020Extended backward stochastic Volterra integral equations and their applications to time-Inconsistent stochastic recursive control problems26 cited
    • 2022Path dependent Feynman–Kac formula for forward backward stochastic Volterra integral equations24 cited