Infinite horizon forward–backward stochastic differential equations
By Shige Peng, Yufeng Shi. 2000
88 citations recorded by the source corpus.
Subfields: Finance, Mathematical Physics, Modeling and Simulation
View Paper: https://www.semanticscholar.org/paper/c54cc72099ea44c6f382fc37b48cf31e4c4e88d5
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Finance
- Shige Peng
- Yufeng Shi
- Li-Xin Zhang
- Marcel Nutz
- Yongsheng Song
- Mingshang Hu
- Jianfeng Zhang
- Nizar Touzi
In Mathematical Physics
In Modeling and Simulation
Citations in the corpus
- A type of time-symmetric forward–backward stochastic differential equations (2003, methodology): “One of these directions was initialized by Hu and Peng [5] and developed by Peng and Wu [12], Yong [13], Peng and Shi [11] and Peng [10], which generalized stochastic Hamiltonian systems introduced by Bismut [3] in 1973 and then systematically investigated by Bensoussan [2].”