A partial information non-zero sum differential game of backward stochastic differential equations with applications

Adapted solution of a backward stochastic differential equation

Étienne Pardoux, Shigē Péng · Systems & Control Letters · 1990 · 2.8K citations

Engineering, Mathematics, Differential Equations +9

On the Separation Theorem of Stochastic Control

W.M. Wonham · SIAM Journal on Control · 1968 · 544 citations

Natural Sciences, Mathematics, Dynamical Systems +16

Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control

Shigē Péng, Zhen Wu · SIAM Journal on Control and Optimization · 1999 · 508 citations

Natural Sciences, Finance, Mathematics +16

Solution of forward-backward stochastic differential equations

Ying Hu, Shigē Péng · Probability Theory and Related Fields · 1995 · 415 citations · Full text

Engineering, Mathematics, Differential Equations +11

Backward stochastic differential equations and applications to optimal control

Shigē Péng · Applied Mathematics & Optimization · 1993 · 414 citations

Natural Sciences, Mathematics, Differential Equations +11