Stochastic Differential and Integral Equations

  • Jin Ma, Jiongmin Yong, and Yanhong Zhao
    Four step scheme for general Markovian forward backward SDEs
    Journal of System Science and Complexity, 23 (2010), 546-571.
  • Jiongmin Yong
    Forward backward stochastic differential equations with mixed initial and terminal conditions
    Transactions of American Mathematical Society, 362 (2010), 1047-1096. (Article)
  • Jiongmin Yong
    Well-posedness and regularity of backward stochastic Volterra integral equations
    Probability Theory and Related Fields, 142 (2008), 21-77.
  • Jiongmin Yong
    Backward stochastic Volterra integral equations and some related problems
    Stochastic Process and Applications, 116 (2006), 779-795.
    (Article)
  • Jiongmin Yong
    Linear forward-backward stochastic differential equations with random coefficients
    Probability Theory Related Fields, 135 (2006), 53-83.
    (Article)
  • Jiongmin Yong
    Some estimates on exponentials of solutions to stochastic differential equations
    Journal of Applied Mathematics and Stochastic Analysis, 17 (2004) 4,287-316.
    (Article)
  • Ying Hu, Jin Ma, and Jiongmin Yong
    On semi-linear degenerate backward stochastic partial differential equations
    Probability Theory and Related Fields, 123 (2002), 381-411.
    (Article)
  • Jin Ma and Jiongmin Yong
    Approximate solvability of forward-backward stochastic differential equations
    Applied Mathematics and Optimization, 45 (2002), 1-22.
    (Article)
  • Jiongmin Yong
    Forward-backward stochastic differential equation: a useful tool for mathematical finance and other related fields
    Surveys on Mathematics for Industry, 10 (2001), 175-229.
  • Ying Hu and Jiongmin Yong
    Forward-backward stochastic differential equations with nonsmooth coefficients
    Stochastic Processes and Their Applications, 87 (2000), 93-106.
    (Article)
  • Jin Ma and Jiongmin Yong
    On linear, degenerate backward stochastic partial differential equations
    Probability Theory and Related Fields, 113 (1999), 135-170.
    (Article)
  • Jiongmin Yong
    Linear forward-backward stochastic differential equations
    Applied Mathematics and Optimization, 39 (1999), 93-119.
    (Article)
  • Jin Ma and Jiongmin Yong
    Adapted solution of a degenerate backward SPDE, with applications
    Stochastic Processes and Their Applications, 70 (1997), 59-84.
    (Article)
  • Jiongmin Yong
    Finding adapted solutions of forward-backward stochastic differential equations: method of continuation
    Probability Theory and Related Fields, 107 (1997), 537-572.
    (Article)
  • Jin Ma and Jiongmin Yong
    Solvability of forward-backward SDEs and the nodal set of Hamilton-Jacobi-Bellman equations
    Chinese Annals of Mathematics, Ser. B 16 (1995), 279-298.
  • Jin Ma, Philip Protter, and Jiongmin Yong
    Solving forward-backward stochastic differential equations explicitly—a four step scheme
    Probability Theory and Related Fields, 98 (1994), 339-359.
    (Article)