| [1] |
Pardoux E, Peng S G.Adapted solution of a backward stochastic differential equation[J].Systems Control Letters,1990,14(1):55-61. doi: 10.1016/0167-6911(90)90082-6
|
| [2] |
El Karoui N,Peng S G,Quenez M C. Backward stochastic differential equations in finance[J].Mathematical Finance,1997,7(1):1-71. doi: 10.1111/1467-9965.00022
|
| [3] |
Ma J,Yong J M.Forward-Backward Stochastic Differential Equations and Their Applications[M]. Lecture Notes in Mathematics,1702,Berlin: Springer,1999.
|
| [4] |
Antonelli F. Backward-forward stochastic differential equations[J].The Annals of Applied Probability,1993,3(3):777-793. doi: 10.1214/aoap/1177005363
|
| [5] |
Ma J,Protter P,Yong J M. Solving forward-backward stochastic differential equations explicitly—a four step scheme[J].Probab Theory Related Fields,1994,98(2):339-359. doi: 10.1007/BF01192258
|
| [6] |
Hu Y,Peng S G. Solution of forward-backward stochastic differential equations[J].Probab Theory Related Fields,1995,103(2):273-283. doi: 10.1007/BF01204218
|
| [7] |
Peng S G,Wu Z. Fully coupled forward-backward stochastic differential equations and applications to optimal control[J].SIAM J Control Optim,1999,37(3):825-843. doi: 10.1137/S0363012996313549
|
| [8] |
Yong J M. Finding adapted solutions of forward-backward stochastic differential equations—method of continuation[J].Probab Theory Related Fields,1997,107(3):537-572. doi: 10.1007/s004400050098
|
| [9] |
Peng S G,Shi Y F. Infinite horizon forward-backward stochastic differential equations[J].Stochastic Processes and Their Applications,2000,85(1):75-92. doi: 10.1016/S0304-4149(99)00066-6
|
| [10] |
Peng S G. Problem of eigenvalues of stochastic Hamiltonian systems with boundary conditions[J].Stochastic Processes and Their Applications,2000,88(2):259-290. doi: 10.1016/S0304-4149(00)00005-3
|
| [11] |
Bismut J M. Conjugate convex functions in optimal stochastic control[J].Journal of Mathematial Analysis and Applications,1973,44(4):384-404. doi: 10.1016/0022-247X(73)90066-8
|
| [12] |
Peng S G,Shi Y F. A type of time-symmetric forward-backward stochastic differential equations[J].C R Acad Sci Paris,Ser Ⅰ,2003,336(9): 773-778. doi: 10.1016/S1631-073X(03)00183-3
|
| [13] |
Pardoux E,Peng S G. Backward doubly stochastic differential equations and systems of quasilinear parabolic SPDE's[J].Probab Theory Related Fields,1994,98(2):209-227. doi: 10.1007/BF01192514
|
| [14] |
Shi Y F. Singularly perturbed boundary value problems[J].Acta Mathematicae Applacatea Sinica,1999,15(4):409-417. doi: 10.1007/BF02684042
|
| [15] |
Peng S G. Probabilistic interpretation for systems of quasilinear parabolic partial differential equations[J].Stochastics,1991,37(1/2):61-74.
|
点击查看大图
下载:
