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Black's Consol Rate Conjecture
Project Euclid | 1995|Keywords: Forward-backward stochastic differential equations -
Hedging options for a large investor and forward-backward SDE's
Project Euclid | 1996|Keywords: Forward-backward stochastic differential equations -
Numerical methods for forward-backward stochastic differential equations
Project Euclid | 1996|Keywords: Forward-backward stochastic differential equations -
Hedging contingent claims for a large investor in an incomplete market
Project Euclid | 1998|Keywords: Forward-backward stochastic differential equations -
Linear Forward—Backward Stochastic Differential Equations
National licenceSpringer Verlag | 1999|Keywords: Linear forward—backward stochastic differential equations, Adapted solution, Riccati-type equation. AMS Classification. 60H10. -
How Do Investors' Expectations Drive Asset Prices?
Wiley | 2001|Keywords: forward‐backward stochastic differential equations -
Stochastic Linear Quadratic Optimal Control Problems
National licenceSpringer Verlag | 2001|Keywords: Stochastic LQ problem, Stochastic maximum principle, Forward—backward stochastic differential equations, Riccati equation. AMS Classification. 93E20, 49K45, 49N10, 60H10. -
A class of stochastic optimal control problems in Hilbert spaces: BSDEs and optimal control laws, state constraints, conditioned processes
Elsevier | 2003|Keywords: Forward–backward stochastic differential equations -
On Solutions of Forward‐Backward Stochastic Differential Equations with Poisson Jumps
Taylor & Francis Verlag | 2003|Keywords: Forward‐Backward stochastic differential equations with jumps -
Probabilistic interpretation of a system of quasilinear parabolic PDEs
Taylor & Francis Verlag | 2004|Keywords: Forward–backward stochastic differential equations -
Auxiliary SDES for homogenization of quasilinear PDES with periodic coefficients
Project Euclid | 2004|Keywords: forward–backward stochastic differential equations -
Forward-backward stochastic differential equations and PDE with gradient dependent second order coefficients
EDP Sciences | 2006|Keywords: Forward-backward stochastic differential equations -
On the solvability of infinite horizon forward–backward stochastic differential equations with absorption coefficients
Elsevier | 2006|Keywords: Forward–backward stochastic differential equations -
Regularity and representation of viscosity solutions of partial differential equations via backward stochastic differential equations
Elsevier | 2006|Keywords: Forward backward stochastic differential equations -
Forward–backward SDEs and the CIR model
Elsevier | 2007|Keywords: Forward–backward stochastic differential equations -
FBSDE approach to utility portfolio selection in a market with random parameters
Elsevier | 2007|Keywords: Forward–backward stochastic differential equations -
Principal-Agent Problems with Exit Options
DeGruyter | 2008|Keywords: forward backward stochastic differential equations -
A Stochastic Linear Quadratic Optimal Control Problem with Generalized Expectation
Taylor & Francis Verlag | 2008|Keywords: Forward-backward stochastic differential equations -
Weak solutions for forward–backward SDEs—a martingale problem approach
Project Euclid | 2008|Keywords: Forward–backward stochastic differential equations -
Sur l'existence de solutions d'équations différentielles stochastiques progréssives rétrogrades couplées
Taylor & Francis Verlag | 2008|Keywords: forward–backward stochastic differential equations
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