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math.PR2018
Systems of ergodic BSDEs arising in regime switching forward performance processes
Ying Hu, Gechun Liang, Shanjian Tang
We introduce and solve a new type of quadratic backward stochastic differential equation systems defined in an infinite time horizon, called \emph{ergodic BSDE systems}. Such syste…
math.PR2010
A Functional Approach to FBSDEs and Its Application in Optimal Portfolios
G. Liang, T. Lyons, Z. Qian
In Liang et al (2009), the current authors demonstrated that BSDEs can be reformulated as functional differential equations, and as an application, they solved BSDEs on general fil…