Encyclopedia of Quantitative Finance 2010
DOI: 10.1002/9780470061602.eqf02018
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Forward–Backward Stochastic Differential Equations ( SDEs )

Abstract: In this article, we introduce the basic theory of forward–backward stochastic differential equations (FBSDEs), including both decoupled and coupled ones. In the Markovian case, FBSDEs are closely associated with parabolic partial differential equations (PDEs), via the so‐called nonlinear Feynman–Kac formula. We also introduce several typical applications of FBSDEs, most notably in option pricing theory and in stochastic control.

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Cited by 3 publications
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“…"-would be immensely valuable in understanding the temporal dynamics and regulation of the behaviors of individual cells across biological conditions. [23] [42,37,6,11,51,50] [13] [14] Table 1: Methods for integrating and extrapolating single-cell time series data. OT = optimal transport; ODE = ordinary differential equations; AE = autoencoder.…”
Section: Introductionmentioning
confidence: 99%
See 1 more Smart Citation
“…"-would be immensely valuable in understanding the temporal dynamics and regulation of the behaviors of individual cells across biological conditions. [23] [42,37,6,11,51,50] [13] [14] Table 1: Methods for integrating and extrapolating single-cell time series data. OT = optimal transport; ODE = ordinary differential equations; AE = autoencoder.…”
Section: Introductionmentioning
confidence: 99%
“…For example, optimal transport-based methods, such as Waddington-OT [36], TrajectoryNet [42] and TIGON [37], operate on pairs of measurements in a time series, with the goal of aligning cells from two neighboring time points under the assumption that a single cell's profile changes minimally between time points. Alternatively, neural ordinary/stochastic differential equation (ODE/SDE) based methods, such as PRESCIENT [49], RNAForecaster [6], MIOFlow [11], FBSDE [51] and scNODE [50], assume that each cell develops autonomously, and the cell's future state is determined based on the cell's current expression profile. Autoencoder models either assume that time is an additive variable in the embedding space [23] or are coupled with optimal transport or ODE based methods to optimize non-linear cell projection and cross-time alignment [42,11,50].…”
Section: Introductionmentioning
confidence: 99%
“…MIOFlow [17] follows the geometry by operating in the latent space of an geodesic autoencoder. FBSDE [40] integrates the forward and backward movements of two SDEs in time to capture the cell developmental dynamics. TIGON [32] uses dynamical unbalanced OT [7] to reconstructs dynamic trajectories and population growth simultaneously.…”
Section: Introductionmentioning
confidence: 99%