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math.PR2012
Classical Solutions of Path-dependent PDEs and Functional Forward-Backward Stochastic Systems
Shaolin Ji, Shuzhen Yang
In this paper we study the relationship between functional forward-backward stochastic systems and path-dependent PDEs. In the framework of functional Itô calculus, we introduce a…
math.PR2012
Non-Markovian Fully Coupled Forward-Backward Stochastic Systems and Classical Solutions of Path-dependent PDEs
Shaolin Ji, Shuzhen Yang
This paper explores the relationship between non-Markovian fully coupled forward-backward stochastic systems and path-dependent PDEs. The definition of classical solution for the p…
math.PR2012★ 1 cited
An optimal control problem for functional forward-backward stochastic systems and related Path-dependent HJB equations
Shaolin Ji, Shuzhen Yang
In this paper, we study a stochastic recursive optimal control problem in which the system is governed by a functional forward-backward stochastic differential equation. Under stan…