The robustness of fully coupled forward-backward stochastic differential equations
نویسندگان
چکیده
منابع مشابه
Maximum Principle for Optimal Control of Fully Coupled Forward-backward Stochastic Differential Delayed Equations
Abstract. This paper deals with the optimal control problem in which the controlled system is described by a fully coupled anticipated forward-backward stochastic differential delayed equation. The maximum principle for this problem is obtained under the assumption that the diffusion coefficient does not contain the control variables and the control domain is not necessarily convex. Both the ne...
متن کاملFully Coupled Forward-backward Stochastic Differential Equations and Applications to Optimal Control
Existence and uniqueness results of fully coupled forward-backward stochastic differential equations with an arbitrarily large time duration are obtained. Some stochastic Hamilton systems arising in stochastic optimal control systems and mathematical finance can be treated within our framework.
متن کاملMean Field Forward-Backward Stochastic Differential Equations
The purpose of this note is to provide an existence result for the solution of fully coupled Forward Backward Stochastic Differential Equations (FBSDEs) of the mean field type. These equations occur in the study of mean field games and the optimal control of dynamics of the McKean Vlasov type.
متن کاملOn Numerical Approximations of Forward-Backward Stochastic Differential Equations
A numerical method for a class of forward-backward stochastic differential equations (FBSDEs) is proposed and analyzed. The method is designed around the Four Step Scheme (Douglas-Ma-Protter, 1996) but with a Hermite-spectral method to approximate the solution to the decoupled quasilinear PDE on the whole space. A rigorous synthetic error analysis is carried out for a fully discretized scheme, ...
متن کاملForward-Backward Doubly Stochastic Differential Equations with Random Jumps and Stochastic Partial Differential-Integral Equations
In this paper, we study forward-backward doubly stochastic differential equations driven by Brownian motions and Poisson process (FBDSDEP in short). Both the probabilistic interpretation for the solutions to a class of quasilinear stochastic partial differential-integral equations (SPDIEs in short) and stochastic Hamiltonian systems arising in stochastic optimal control problems with random jum...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Physics: Conference Series
سال: 2008
ISSN: 1742-6596
DOI: 10.1088/1742-6596/96/1/012207