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Stochastic PDEs Driven by Nonlinear Noise and Backward Doubly SDEs
14 references·1 citing·29 second hop
Stochastic PDEs Driven by Nonlinear Noise and Backward Doubly SDEs (2002)Stochastic PDEs Driven by Nonlinear Noise…An introduction to stochastic partial differential equations (2006)An introduction to stochastic…Backward stochastic differential equations and quasilinear parabolic partial differential equations (2005)Backward stochastic different…Weak Solutions for SPDEs and Backward Doubly Stochastic Differential Equations (2001)Weak Solutions for SPDEs and …Stochastic Flows and Stochastic Differential Equations (1998)Stochastic Flows and Stochast…Backwards SDE with random terminal time and applications to semilinear elliptic PDE (1997)Backwards SDE with random ter…Backward Stochastic Differential Equations in Finance (1997)Backward Stochastic Different…Backward stochastic differential equations and integral-partial differential equations (1997)Backward stochastic different…Backward equations, stochastic control and zero-sum stochastic differential games (1995)Backward equations, stochasti…Stochastic flows acting on Schwartz distributions (1994)Stochastic flows acting on Sc…Generalized solutions of a stochastic partial differential equation (1994)Generalized solutions of a st…Backward doubly stochastic differential equations and systems of quasilinear SPDEs (1994)Backward doubly stochastic di…Adapted solution of a backward stochastic differential equation (1990)Adapted solution of a backwar…Stochastic Differential Equations and Diffusion Processes (1983)Stochastic Differential Equat…Stochastic partial differential equations and filtering of diffusion processes (1980)Stochastic partial differenti…The obstacle problem for quasilinear stochastic PDE’s (2010)The obstacle problem for quas…Brownian Motion and Stochastic Calculus (1988)Solving forward-backward stochastic differential equations explicitly — a four step scheme (1994)Reflected solutions of backward SDE's, and related obstacle problems for PDE's (1997)Backward stochastic differential equations and partial differential equations with quadratic growth (2000)Brownian Motion and Stochastic Calculus (2007)Continuous Martingales and Brownian Motion (1991)Generalized BSDEs and nonlinear Neumann boundary value problems (1998)Continuous Martingales and Brownian Motion (1999)Reflected BSDE's with discontinuous barrier and application (2002)Reflected and doubly reflected BSDEs with jumps: A priori estimates and comparison (2008)The Pricing of Options and Corporate Liabilities (1973)Theory of rational option pricing (2005)Partial Differential Equations (2010)Numerical Methods for Stochastic Control Problems in Continuous Time (1990)Extending the Martingale Measure Stochastic Integral With Applications to Spatially Homogeneous S.P.D.E.'s (1999)Lattice Approximations for Stochastic Quasi-Linear Parabolic Partial Differential Equations driven by Space-Time White Noise II (1999)Nonlinear Expectations, Nonlinear Evaluations and Risk Measures (2004)A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models (2005)Mean-field backward stochastic differential equations and related partial differential equations (2009)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Controlled Markov Processes and Viscosity Solutions (2005)Backward Stochastic Differential Equations and Viscosity Solutions of Systems of Semilinear Parabolic and Elliptic PDEs of Second Order (1998)Second‐order backward stochastic differential equations and fully nonlinear parabolic PDEs (2006)Optimal Control for Partially Observed Diffusions (1982)Maximum principle and dynamic programming approaches of the optimal control of partially observed diffusions (1983)Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework (2000)An Overview of Value at Risk (1997)Pricing the risks of default (1998)Robustness of the Black and Scholes Formula (1998)
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References

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  • 2010The obstacle problem for quasilinear stochastic PDE’s28 cited