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A sufficient condition for the uniform integrability of exponential martingales
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A sufficient condition for the uniform integrability of exponential martingales (1979)A sufficient condition for the uniform in…Mean–Variance Asset–Liability Management Problem Under Non-Markovian Regime-Switching Models (2018)Mean–Variance Asset–Liability…Quadratic–exponential growth BSDEs with jumps and their Malliavin’s differentiability (2017)Quadratic–exponential growth …Quadratic BSDEs with jumps: a fixed-point approach (2015)Quadratic BSDEs with jumps: a…On exponential local martingales associated with strong Markov continuous local martingales (2009)On exponential local martinga…A Semimartingale Backward Equation and the Variance-Optimal Martingale Measure under General Information Flow (2003)A Semimartingale Backward Equ…A Semimartingale Bellman Equation and the Variance-Optimal Martingale Measure (2000)A Semimartingale Bellman Equa…Adapted solution of a backward stochastic differential equation (1990)Backward Stochastic Differential Equations in Finance (1997)Backward stochastic differential equations and partial differential equations with quadratic growth (2000)Calcul Stochastique et Problèmes de Martingales (1979)Stochastic Calculus and Applications. (1986)Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market (1995)Lp solutions of backward stochastic differential equations with jumps (2017)Continuous Martingales and Brownian Motion (1999)Limit Theorems for Stochastic Processes (2003)ON THE MARTINGALE PROPERTY IN STOCHASTIC VOLATILITY MODELS BASED ON TIME‐HOMOGENEOUS DIFFUSIONS (2014)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework (2000)Backward stochastic partial differential equations related to utility maximization and hedging (2008)Stochastic differential equations and applications (2008)
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  • 2018Mean–Variance Asset–Liability Management Problem Under Non-Markovian Regime-Switching Models33 cited
  • 2000A Semimartingale Bellman Equation and the Variance-Optimal Martingale Measure30 cited
  • 2009On exponential local martingales associated with strong Markov continuous local martingales29 cited
  • 2017Quadratic–exponential growth BSDEs with jumps and their Malliavin’s differentiability29 cited
  • 2015Quadratic BSDEs with jumps: a fixed-point approach28 cited
  • 2003A Semimartingale Backward Equation and the Variance-Optimal Martingale Measure under General Information Flow25 cited

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