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$G$-expectation weighted Sobolev spaces, backward SDE and path dependent PDE
16 references·2 citing·29 second hop
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this work references cited by second hop

References

  • 1990Adapted solution of a backward stochastic differential equation2,676 cited
  • 1997Backward Stochastic Differential Equations in Finance2,339 cited
  • 2005Backward stochastic differential equations and quasilinear parabolic partial differential equations782 cited
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  • 2007G-Expectation, G-Brownian Motion and Related Stochastic Calculus of Itô Type621 cited
  • 2019Nonlinear Expectations and Stochastic Calculus under Uncertainty594 cited
  • 2010Function Spaces and Capacity Related to a Sublinear Expectation: Application to G-Brownian Motion Paths570 cited
  • 2008Multi-dimensional G-Brownian motion and related stochastic calculus under G-expectation556 cited
  • 1991Probabilistic interpretation for systems of quasilinear parabolic partial differential equations518 cited
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  • 2013Functional Itô calculus and stochastic integral representation of martingales252 cited
  • 2010Martingale representation theorem for the G -expectation

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201 cited
  • 2014On viscosity solutions of path dependent PDEs181 cited
  • Cited by

    • 2020Zero-sum path-dependent stochastic differential games in weak formulation29 cited
    • 2018Quadratic backward stochastic differential equations driven by G -Brownian motion: Discrete solutions and approximation26 cited