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https://hdl.handle.net/2440/74853
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Type: | Journal article |
Title: | Markovian forward-backward stochastic differential equations and stochastic flows |
Author: | Elliott, R. Siu, T. |
Citation: | Systems and Control Letters, 2012; 61(10):1017-1022 |
Publisher: | Elsevier Science BV |
Issue Date: | 2012 |
ISSN: | 0167-6911 1872-7956 |
Statement of Responsibility: | Robert J. Elliott, Tak Kuen Siu |
Abstract: | Markovian forward-backward stochastic differential equations, (MFBSDEs), are discussed by exploiting techniques of stochastic flows. Using martingale representation, a differentiation rule, stochastic flows of diffeomorphisms and the unique decomposition of special semimartingales, we identify the solution of the backward system of the FBSDE. Applications of the result to convex risk measures are discussed. © 2012 Elsevier B.V. All rights reserved. |
Keywords: | Markovian forward–backward stochastic differential equations Stochastic flows Martingale representation Special semimartingale Convex risk measures |
Rights: | © 2012 Elsevier B.V. All rights reserved. |
DOI: | 10.1016/j.sysconle.2012.04.013 |
Published version: | http://dx.doi.org/10.1016/j.sysconle.2012.04.013 |
Appears in Collections: | Aurora harvest 4 Mathematical Sciences publications |
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