Linear forward-backward stochastic differential equations with random coefficients
By Jiongmin Yong. 2006
63 citations recorded by the source corpus.
Subfields: Finance, Statistics and Probability
View Paper: https://www.semanticscholar.org/paper/e66bb57547405291d8bc2fe4ee3767aad0445bcb
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Finance
In Statistics and Probability
Citations in the corpus
- On well-posedness of forward-backward SDEs-A unified approach (2011, methodology): “Our results will contain those of [19, 25] and [28] as special cases.”
- Linear–quadratic stochastic two-person nonzero-sum differential games: Open-loop and closed-loop Nash equilibria (2016, methodology): “Inspired by the decoupling technique introduced in [13,14,25,26], we now look at the solvability of FBSDE (4.1)–(4.2).”
- Control of McKean–Vlasov dynamics versus mean field games (2012, unknown): “Linear FBSDEs of the form (36) have been studied in [23, 24], but for the sake of completeness we construct a solution from scratch recalling some basic facts of the theory.”