Results 241 to 250 of about 57,660 (268)

Jensen’s Inequality for Backward Stochastic Differential Equations*

Chinese Annals of Mathematics, Series B, 2006
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Forward-Backward Stochastic Differential Equations

2013
We investigate a backward SDE with a generator and a terminal condition which depend on the state of a Markov process solving a forward SDE driven by a Brownian motion and a compensated Poisson random measure. Such an equation is called a forward-backward SDE. In the Markovian setting we show that the unique solution to a backward SDE can be written as
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HJB Equations Through Backward Stochastic Differential Equations

2017
This last chapter of the book completes the picture of the main methods used to study second-order HJB equations in Hilbert spaces and related optimal control problems by presenting a survey of results that can be achieved with the techniques of Backward SDEs in infinite dimension.
Fuhrman, M, Tessitore, G.
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Quadratic backward stochastic differential equations

2017
In this thesis, we analyze backward stochastic differential equations. We begin by introducing stochastic processes, Brownian motion, stochastic integrals, and Itô's formula. After that, we move on to consider stochastic differential equations and finally backward stochastic differential equations.
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Backward Stochastic Differential Equations

2017
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Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control

SIAM Journal on Control and Optimization, 1999
Zhen Wu
exaly  

Deep Learning-Based Numerical Methods for High-Dimensional Parabolic Partial Differential Equations and Backward Stochastic Differential Equations

Communications in Mathematics and Statistics, 2017
Weinan E, Jiequn Han, Arnulf Jentzen
exaly  

Backward Stochastic Differential Equations

2011
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Comparison Theorems of Backward Doubly Stochastic Differential Equations and Applications

Stochastic Analysis and Applications, 2005
Yufeng Shi
exaly  

Backward stochastic differential equations

2016
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