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Volumn 107, Issue 4, 1997, Pages 537-572

Finding adapted solutions of forward-backward stochastic differential equations: Method of continuation

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EID: 0041022466     PISSN: 01788051     EISSN: None     Source Type: Journal    
DOI: 10.1007/s004400050098     Document Type: Article
Times cited : (168)

References (17)
  • 1
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    • Backward-forward stochastic differential equations
    • Antonelli, F.: Backward-forward stochastic differential equations. Ann. Appl. Probab. 3, 777-793 (1993)
    • (1993) Ann. Appl. Probab. , vol.3 , pp. 777-793
    • Antonelli, F.1
  • 2
    • 0003001464 scopus 로고
    • An introductory approach to duality in optimal stochastic control
    • Bismut, J.M.: An introductory approach to duality in optimal stochastic control. SIAM Rev. 20, 62-78 (1978)
    • (1978) SIAM Rev. , vol.20 , pp. 62-78
    • Bismut, J.M.1
  • 3
    • 85045502394 scopus 로고    scopus 로고
    • Hedging options for a large investor and forward-backward SDEs
    • to appear
    • Cvitanic, J., Ma, J.: Hedging options for a large investor and forward-backward SDEs. Ann. Appl. Probab. (to appear)
    • Ann. Appl. Probab.
    • Cvitanic, J.1    Ma, J.2
  • 4
    • 0001661435 scopus 로고
    • Black's consol rate conjecture
    • Duffe, D., Ma, J., Yong, J.: Black's consol rate conjecture. Ann. Appl. Probab. 5, 356-382 (1995)
    • (1995) Ann. Appl. Probab. , vol.5 , pp. 356-382
    • Duffe, D.1    Ma, J.2    Yong, J.3
  • 7
    • 51249168165 scopus 로고
    • Solution of forward-backward stochastic differential equations
    • Hu, Y., Peng, S.: Solution of forward-backward stochastic differential equations. Probab. Theory Relat. Fields 103, 273-283 (1995)
    • (1995) Probab. Theory Relat. Fields , vol.103 , pp. 273-283
    • Hu, Y.1    Peng, S.2
  • 9
    • 0344891803 scopus 로고
    • Solving forward-backward stochastic differential equations explicitly - A four step scheme
    • Ma, J., Protter, P., Yong, J.: Solving forward-backward stochastic differential equations explicitly - a four step scheme. Probab. Theory Relat. Fields 98, 339-359 (1994)
    • (1994) Probab. Theory Relat. Fields , vol.98 , pp. 339-359
    • Ma, J.1    Protter, P.2    Yong, J.3
  • 10
    • 0000475954 scopus 로고
    • Solvability of forward-backward SDEs and the nodal set of Hamilton-Jacobi-Bellman equations
    • Ma, J., Yong, J.: Solvability of forward-backward SDEs and the nodal set of Hamilton-Jacobi-Bellman equations, Chin. Ann. Math. Ser. B 16, 279-298 (1995)
    • (1995) Chin. Ann. Math. Ser. B , vol.16 , pp. 279-298
    • Ma, J.1    Yong, J.2
  • 13
    • 0025262967 scopus 로고
    • Adapted solution of a backward stochastic differential equation
    • Pardoux, E., Peng, S.: Adapted solution of a backward stochastic differential equation. Systems Control Lett. 14, 55-61 (1990)
    • (1990) Systems Control Lett. , vol.14 , pp. 55-61
    • Pardoux, E.1    Peng, S.2
  • 15
    • 0003318214 scopus 로고
    • Backward stochastic differential equation and its application in optimal control
    • Peng, S.: Backward stochastic differential equation and its application in optimal control. Appl. Math. Optim. 27, 125-144 (1993)
    • (1993) Appl. Math. Optim. , vol.27 , pp. 125-144
    • Peng, S.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.