Potential Kernels Associated with a Filtration and Forward-Backward SDEs

Potential Analysis

Volumn 10, Issue 2, 1999, Pages 103-118

  Hu, Ying ^a  

^a UNIVERSITÉ BLAISE PASCAL   (France)

Author keywords

Filtration; Forward backward SDEs; Method of continuation; Potential kernel

Indexed keywords

EID: 0042078404     PISSN: 09262601     EISSN: None     Source Type: Journal    
DOI: 10.1023/A:1008678927573     Document Type: Article

References (6)

1. Bouleau, N.: 'Autour de la variance comme forme de Dirichlet: Filtrations et résolutions de l'identité, contractions et BMO, espérences conditionnelles et principe complet du maximum', in: Séminaire de Théorie du Potentiel, Paris, No. 8, Lecture Notes in Math. 1235, Springer, Berlin, 1987, pp. 39-53.
2. Martinez, S., Michon, G. and San Martin, J.: 'Inverse of strictly ultrametric matrices are of Stieltjes type', SIAM J. Matrix Anal. Appl. 15 (1994), 98-106.
3. Hu, Y. and Peng, S.: 'Solution of forward-backward stochastic differential equations', Probab. Theory Relat. Fields 103 (1995), 273-283.
4. Dellacherie, C., Martinez, S., San Martin, J. and Taïbi, D.: 'Noyaux potentiels associés à une filtration'. Preprint.
5. Antonelli, F. 'Backward-forward stochastic differential equations', Ann. Appl. Probab. 3 (1993), 777-793.
6. Ma, J., Protter, P. and Yong, J.: 'Solving forward-backward stochastic differential equations explicitly - a four step scheme', Probab. Theory Relat. Fields 98 (1994), 339-359.