Future Expectations Modeling, Random Coefficient Forward–Backward Stochastic Differential Equations, and Stochastic Viscosity Solutions

Published Online:https://doi.org/10.1287/moor.2018.0981

References

  • [1] Agram N, Øksendal B (2014) Infinite horizon optimal control of forward-backward stochastic differential equations with delay. J. Comput. Appl. Math. 259(March):336–349.CrossrefGoogle Scholar
  • [2] Blanchard O (1981) Output, the stock market, and interest rates. Amer. Econom. Rev. 71(1):132–143.Google Scholar
  • [3] Buckdahn R, Ma J (2001) Stochastic viscosity solutions for nonlinear stochastic partial differential equations. Part I. Stochastic Processes Appl. 93(2):181–204.CrossrefGoogle Scholar
  • [4] Buckdahn R, Ma J (2001) Stochastic viscosity solutions for nonlinear stochastic partial differential equations. Part II. Stochastic Processes Appl. 93(2):205–228.CrossrefGoogle Scholar
  • [5] Buckdahn R, Ma J (2007) Pathwise stochastic control problems and stochastic HJB equations. SIAM J. Control Optim. 45(6):2224–2256.CrossrefGoogle Scholar
  • [6] Cadenillas A, Zapatero F (1999) Optimal central bank intervention in the foreign exchange market. J. Econom. Theory 87(1):218–242.CrossrefGoogle Scholar
  • [7] Cheridito P, Soner HM, Touzi N, Victoir N (2007) Second-order backward stochastic differential equations and fully nonlinear parabolic PDEs. Commun. Pure Appl. Math. 60(7):1081–1110.CrossrefGoogle Scholar
  • [8] Cont R, Fournie DA (2010) Change of variable formulas for non-anticipative functionals on path space. J. Functional Anal. 259(4):1043–1072.CrossrefGoogle Scholar
  • [9] Cont R, Fournie DA (2013) Functional Itô calculus and stochastic integral representation of martingales. Ann. Probab. 41(1):109–133.CrossrefGoogle Scholar
  • [10] Crandall MG, Ishii H, Lions PL (1992) Users guide to viscosity solutions of second order partial differential equations. Bull. Amer. Math. Soc. 27(1):1–68.CrossrefGoogle Scholar
  • [11] Crandall MG, Lions PL (1983) Viscosity solutions of Hamilton-Jacobi equations. Trans. Amer. Math. Soc. 277(1):1–42.CrossrefGoogle Scholar
  • [12] Cvitanić J, Ma J (1996) Hedging options for a large investor and forward-backward SDE’s. Ann. Appl. Probab. 6(2):370–398.CrossrefGoogle Scholar
  • [13] Dornbusch R (1976) Expectations and exchange rate dynamics. J. Political Econom. 84(6):1161–1176.CrossrefGoogle Scholar
  • [14] Duffie D, Ma J, Yong J (1995) Black’s console rate conjecture. Ann. Appl. Probab. 5(2):356–382.CrossrefGoogle Scholar
  • [15] Dupire B (2009) Functional Itô calculus. Bloomberg Portfolio Research Paper No. 2009-04-FRONTIERS, Bloomberg L.P., New York.Google Scholar
  • [16] Ekren I, Keller C, Touzi N, Zhang J (2014) On viscosity solutions of path dependent PDEs. Ann. Probab. 42(1):204–236.CrossrefGoogle Scholar
  • [17] Ekren I, Touzi N, Zhang J (2016) Viscosity solutions of fully nonlinear parabolic path dependent PDEs: Part I. Ann. Probab. 44(2):1212–1253.CrossrefGoogle Scholar
  • [18] Ekren I, Touzi N, Zhang J (2016) Vimscosity solutions of fully nonlinear parabolic path dependent PDEs: Part II. Ann. Probab. 44(4):2507–2553.Google Scholar
  • [19] Englezos N, Frangos NE, Kartala XI, Yannacopoulos AN (2013) Stochastic Burgers equation and a generalization of the Cole-Hopf transformation. Stochastic Processes Appl. 123(8):3239–3272.CrossrefGoogle Scholar
  • [20] Fleming WH, Soner HM (2006) Controlled Markov Processes and Viscosity Solutions, vol. 25 (Springer, Berlin).Google Scholar
  • [21] Haadem S, Øksendal B, Proske F (2013) Maximum principle for jump diffusion processes with infinite horizon. Automatica 49(7):2267–2275.CrossrefGoogle Scholar
  • [22] Jeanblanc-Picqué M (1993) Impulse control method and exchange rate. Math. Finance 3(2):161–177.CrossrefGoogle Scholar
  • [23] Krugman PR (1991) Target zones and exchange rate dynamics. Quart. J. Econom. 106(3):669–682.CrossrefGoogle Scholar
  • [24] Kunita H (1990) Stochastic Flows and Stochastic Differential Equations, Cambridge Studies in Advanced Math, vol. 24 (Cambridge University Press, Cambridge, UK).Google Scholar
  • [25] Lions PL, Souganidis PE (1998) Fully nonlinear stochastic partial differential equations. Comptes Rendus Acad. Sci. I Math. 326(9):1085–1092.Google Scholar
  • [26] Lions PL, Souganidis PE (1998) Fully nonlinear stochastic partial differential equations: Non-smooth equations and applications. Comptes Rendus Acad. Sci. I Math. 327(8):735–741.Google Scholar
  • [27] Ma J, Protter P, Yong J (1994) Solving forward-backward stochastic differential equations explicitly - a four step scheme. Probab. Theory Related Fields 98(3):339–359.CrossrefGoogle Scholar
  • [28] Ma J, Yong J (1997) Adapted solution of a degenerate backward SPDE, with applications. Stochastic Processes Appl. 70(1):59–84.CrossrefGoogle Scholar
  • [29] Ma J, Yong J (1998) Forward-Backward Stochastic Differential Equations and Their Applications, Lecture Notes in Mathematics, vol. 1702 (Springer, New York).Google Scholar
  • [30] Maslowski B, Veverka P (2014) Suffficient stochastic maximum principle for discounted control problem. Appl. Math. Opt. 70(2):225–252.CrossrefGoogle Scholar
  • [31] Miller M, Weller P (1995) Stochastic saddlepoint systems: Stabilization policy and the stock market. J. Econom. Dyn. Control 19(1–2):279–302.CrossrefGoogle Scholar
  • [32] Mundaca G, Øksendal B (1998). Optimal stochastic intervention control with application to the exchange rate. J. Math. Econom. 29(2):225–243.CrossrefGoogle Scholar
  • [33] Neely CJ, Weller P, Corbae D (1995) Endogenous realignments and the sustainability of a target zone. CEPR Discussion Paper No. 1253, Centre for Economic Policy Research, London.Google Scholar
  • [34] Pardoux E (1999) BSDEs’ weak convergence and homogenizations of semilinear PDEs. Clarke FH, Stern RJ, eds. Nonlinear Analysis Differential Equations and Control, NATO Science Series, vol. 528 (Kluwer Academic, Dordrecht, Netherlands), 503–549.CrossrefGoogle Scholar
  • [35] Pardoux E (1998) Backward stochastic differential equations and viscosity solutions of semilinear parabolic and elliptic PDEs of second order. Decreusefond L, Øksendal B, Gjerde J, Üstünel AS, eds. Stochastic Analysis and Related Topics VI, Progress in Probability, vol. 42 (Birkhäuser, Boston), 79–127.CrossrefGoogle Scholar
  • [36] Pardoux E, Pradeilles F, Rao Z (1997) Probabilistic interpretation of a system of semilinear parabolic PDEs. Ann. Inst. H. Poincare B Probab. Statist. 33(4):467–490.CrossrefGoogle Scholar
  • [37] Pardoux E, Tang S (1999) Forward-backward stochastic differential equations and quasilinear parabolic PDEs. Probab. Theory Related Fields 114(2):123–150.CrossrefGoogle Scholar
  • [38] Peng S (1991) Probabilistic interpretation for systems of semilinear parabolic PDEs. Stochastics Stochastic Rep. 37(1–2):61–74.CrossrefGoogle Scholar
  • [39] Peng S (1992) A generalized dynamic programming principle and Hamilton-Jacobi-Bellman equation. Stochastics Stochastic Rep. 38(2):119–134.CrossrefGoogle Scholar
  • [40] Peng S (2011) Note on viscosity solution of path-dependent PDE and G-martingales. Working paper, Shandong University, Shandong, China.Google Scholar
  • [41] Peng S, Shi Y (2000) Infinite horizon forward-backward stochastic differential equations. Stochastic Processes Appl. 85(1):75–92.CrossrefGoogle Scholar
  • [42] Peng S, Wu Z (1999) Fully coupled forward-backward stochastic differential equations and applications to optimal control. SIAM J. Control Optim. 37(3):825–843.CrossrefGoogle Scholar
  • [43] Shi JT, Wu Z (2006) The maximum principle for fully coupled forward-backward stochastic control system. Acta Automatica Sinica 32(2):161–169.Google Scholar
  • [44] Soner HM, Touzi N, Zhang J (2012) Wellposedness of second order backward SDEs. Probab. Theory Related Fields 153(1–2):149–190.CrossrefGoogle Scholar
  • [45] Tang S, Zang F (2013) Path-dependent optimal stochastic control and viscosity solution of associated Bellman equations. Discrete Continuous Dynamical Systems, A 35(11):5521–5553.Google Scholar
  • [46] Wu Z (1999) The comparison theorem of FBSDE. Statist. Probab. Lett. 44(1):1–6.CrossrefGoogle Scholar
  • [47] Wu Z (1998) Maximum principle for optimal control problem of fully coupled forward-backward stochastic systems. J. Systems Sci. Complexity 11(3):249–259.Google Scholar
  • [48] Wu Z, Xu M (2009) Comparison theorems for forward backward SDEs. Statist. Probab. Lett. 79(4):426–435.CrossrefGoogle Scholar
  • [49] Yannacopoulos AN (2005) A novel approach to exchange rate control using controlled backward stochastic differential equations. Ekonomia 8(1):74–91.Google Scholar
  • [50] Yannacopoulos AN (2008) Rational expectation models: An approach using forward-backward stochastic differential equations. J. Math. Econom. 44(3–4):251–276.CrossrefGoogle Scholar
  • [51] Yin J (2008) On solutions of a class of infinite horizon FBSDEs. Statist. Probab. Lett. 78(15):2412–2419.CrossrefGoogle Scholar
  • [52] Yong J (2006) Linear forward-backward stochastic differential equations with random coefficients. Probab. Theory Related Fields 135(1):53–83.CrossrefGoogle Scholar
  • [53] Yong J (2010) Optimality variational principle for controlled forward-backward stochastic differential equations with mixed initial-terminal conditions. SIAM J. Control Optim. 48(6):4119–4156.CrossrefGoogle Scholar
  • [54] Zhang L, Shi Y (2010) Comparison theorems of infinite horizon forward-backward stochastic differential equations. Working paper, Beijing University of Posts and Telecommunications, Beijing.Google Scholar
INFORMS site uses cookies to store information on your computer. Some are essential to make our site work; Others help us improve the user experience. By using this site, you consent to the placement of these cookies. Please read our Privacy Statement to learn more.