A Note on FBSDE characterization of mean exit times-Reference-Cited by-同舟云学术

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A Note on FBSDE characterization of mean exit times

Published:2009-08 Issue:15-16 Volume:347 Page:965-969
ISSN:1631-073X
Container-title:Comptes Rendus Mathematique
language:en
Short-container-title:Comptes Rendus Mathematique

Author:

Makasu Cloud

Publisher

Elsevier BV

Subject

General Mathematics

Reference22 articles.

1. Backward–forward stochastic differential equations;Antonelli;Ann. Appl. Probab.,1993

2. Existence of the solutions of backward–forward SDEs with continuous monotone coefficients;Antonelli;Statist. Probab. Lett.,2006

3. Existence, uniqueness and stability of backward stochastic differential equations with locally monotone coefficient;Bahlali;C. R. Acad. Sci. Paris, Ser. I,2002

4. BSDE with quadratic growth and unbounded terminal value;Briand;Probab. Theory Related Fields,2006

5. Backwards stochastic differential equation with random terminal time and applications to semilinear elliptic partial differential equations;Darling;Ann. Probab.,1997

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