2 papers
math.PR2015
Fully Coupled Forward-backward Stochastic Differential Equations on Markov Chains
Shaolin Ji, Haodong Liu, Xinling Xiao
We define fully coupled forward-backward stochastic differential equations on spaces related to continuous time, finite state Markov Chains. Existence and uniqueness results of the…
math-ph2012
An optimal control problem of forward-backward stochastic Volterra integral equations with state constraints
Qingmeng Wei, Xinling Xiao
This paper is devoted to the stochastic optimal control problems for systems governed by forward-backward stochastic Volterra integral equations (FBSVIEs, for short) with state con…