On non-Markovian forward–backward SDEs and backward stochastic PDEs
By Jin Ma, H. Yin, Jianfeng Zhang. 2012
69 citations recorded by the source corpus.
Subfields: Demography, Finance
View Paper: https://www.semanticscholar.org/paper/7aca3718c53cde64c94f34610e6f51b0a889a807
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Demography
- D. Crisan
- Jean-François Chassagneux
- Franccois Delarue
- Jianfeng Zhang
- Nizar Touzi
- Ibrahim Ekren
- Chenchen Mou
- Jin Ma
In Finance
- Jianfeng Zhang
- Jean-François Chassagneux
- D. Crisan
- Franccois Delarue
- Chenchen Mou
- Nizar Touzi
- Ibrahim Ekren
- Jin Ma
Citations in the corpus
- CLASSICAL SOLUTIONS TO THE MASTER EQUATION FOR LARGE POPULATION EQUILIBRIA (2014, methodology): “for deriving the master equation. One of the most noticeable results is that a forwardbackward system may be decoupled by means of a decoupling field provided the system is uniquely solvable, see e.g. [25, 26]. More precisely, the decoupling field is used to express the backward component of the as a ”
- Wellposedness of Second Order Master Equations for Mean Field Games with Nonsmooth Data (2019, methodology): “As illustrated in [28, 57, 58], to extend from a local (in time) solution of an FBSDE to a global solution, the key is the uniform Lipschitz continuity of the decoupling field, which is exactly implied by (4.”
- A Probabilistic Approach to Classical Solutions of the Master Equation for Large Population Equilibria (2014, methodology): “for deriving the master equation. One of the most noticeable results is that a forwardbackward system may be decoupled by means of a decoupling field provided the system is uniquely solvable, see e.g. [25, 26]. More precisely, the decoupling field is used to express the backward component of the as a ”
- On well-posedness of forward-backward SDEs-A unified approach (2011, methodology): “Such a feature was also observed from a different angle in [13], in which we characterize the regular decoupling field u as a Sobolev type weak solution to certain backward stochastic PDE that is Lipschitz in x.”
- Viscosity solutions of fully nonlinear parabolic path dependent PDEs: Part II (2012, methodology): “See also [19] and [21] for applications of BSPDEs.”