14 citations · 27 across the 5 of their papers we have counts for
5 papers
Fully Coupled Forward-Backward Stochastic Functional Differential Equations and Applications to Quadratic Optimal Control
Xiaoming Xu
In this paper, we consider the fully coupled forward-backward stochastic functional differential equations (FBSFDEs) with stochastic functional differential equations as the forwar…
Anticipated backward doubly stochastic differential equations
Xiaoming Xu
In this paper, we deal with a new type of differential equations called anticipated backward doubly stochastic differential equations (anticipated BDSDEs). The coefficients of thes…
A general comparison theorem for 1-dimensional anticipated BSDEs
Xiaoming Xu
Anticipated backward stochastic differential equation (ABSDE) studied the first time in 2007 is a new type of stochastic differential equations. In this paper, we establish a gener…
BSDEs with random default time and their applications to default risk
Shige Peng, Xiaoming Xu
In this paper we are concerned with backward stochastic differential equations with random default time and their applications to default risk. The equations are driven by Brownian…
Necessary and sufficient condition for the comparison theorem of multidimensional anticipated backward stochastic differential equations
Xiaoming Xu
Anticipated backward stochastic differential equations, studied the first time in 2007, are equations of the following type: {tabular}{rlll} &=& $f(t, Y_t, Z_t, Y_{t+δ(t)},…