Linear forward-backward stochastic differential equations with random coefficients
Author:
Publisher
Springer Science and Business Media LLC
Subject
Statistics, Probability and Uncertainty,Statistics and Probability,Analysis
Link
http://link.springer.com/content/pdf/10.1007/s00440-005-0452-5.pdf
Reference24 articles.
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3. Briand, P., Delyon, B., Hu, Y., Pardoux, E., Stoica, L.: Lp solutions of backward stochastic differential equations. Stoch. Proc. Appl., 108, 109–129 (2003)
4. Chen, S., Li, X., Zhou, X. Y.: Stochastic linear quadratic regulators with indefinite control weight costs. SIAM J. Control Optim., 36, 1685–1702 (1998)
5. Chen, S., Yong, J.: Stochastic linear quadratic optimal control problems with random coefficients. Chin. Ann. Math., 21B, 323–338 (2000)
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