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Feynman-Kac Representation of Fully Nonlinear PDEs and Applications
16 references·0 citing·29 second hop
Feynman-Kac Representation of Fully Nonlinear PDEs and Applications (2015)Feynman-Kac Representation of Fully Nonli…Numerical solution of stochastic differential equations (2016)Numerical solution of stochas…Wellposedness of second order backward SDEs (2011)Wellposedness of second order…Continuous-time Stochastic Control and Optimization with Financial Applications (2009)Continuous-time Stochastic Co…Quadratic BSDEs with convex generators and unbounded terminal conditions (2007)Quadratic BSDEs with convex g…G-Expectation, G-Brownian Motion and Related Stochastic Calculus of Itô Type (2007)G-Expectation, G-Brownian Mot…BSDE with quadratic growth and unbounded terminal value (2006)BSDE with quadratic growth an…Controlled Markov Processes and Viscosity Solutions (2005)Controlled Markov Processes a…Backward stochastic differential equations and quasilinear parabolic partial differential equations (2005)Backward stochastic different…Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations (2004)Discrete-time approximation a…A numerical scheme for BSDEs (2004)A numerical scheme for BSDEsValuing American Options by Simulation: A Simple Least-Squares Approach (2001)Valuing American Options by S…Backward stochastic differential equations and partial differential equations with quadratic growth (2000)Backward stochastic different…Backward Stochastic Differential Equations in Finance (1997)Backward Stochastic Different…Backward stochastic differential equations and integral-partial differential equations (1997)Backward stochastic different…Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps (1994)Necessary Conditions for Opti…Adapted solution of a backward stochastic differential equation (1990)Adapted solution of a backwar…The Pricing of Options and Corporate Liabilities (1973)Stochastic Differential Equations and Diffusion Processes (1983)Martingale Methods in Financial Modelling (1997)Brownian Motion and Stochastic Calculus (2007)Mean field games (2007)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)Theory of Rational Option Pricing (1973)Regression methods for pricing complex American-style options (2001)New frontiers for arch models (2002)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)Theory of rational option pricing (2005)Coherent Measures of Risk (1999)Stochastic Differential Equations (2003)Function Spaces and Capacity Related to a Sublinear Expectation: Application to G-Brownian Motion Paths (2010)Machine Learning Approximation Algorithms for High-Dimensional Fully Nonlinear Partial Differential Equations and Second-order Backward Stochastic Differential Equations (2019)Nonlinear Expectations and Stochastic Calculus under Uncertainty (2019)Optimal high-frequency trading with limit and market orders (2012)Probabilistic Analysis of Mean-Field Games (2013)Stochastic Differential Equations (2014)Nonlinear Expectations, Nonlinear Evaluations and Risk Measures (2004)Utility maximization in incomplete markets (2005)Alternative models for stock price dynamics (2003)Multilevel Monte Carlo Path Simulation (2008)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)Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework (2000)Partial Differential Equations (2010)
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References

  • 2016Numerical solution of stochastic differential equations5,001 cited
  • 2001Valuing American Options by Simulation: A Simple Least-Squares Approach3,218 cited
  • 2005Controlled Markov Processes and Viscosity Solutions2,698 cited
  • 1990Adapted solution of a backward stochastic differential equation2,676 cited
  • 1997Backward Stochastic Differential Equations in Finance2,339 cited
  • 2009Continuous-time Stochastic Control and Optimization with Financial Applications1,041 cited
  • 2005Backward stochastic differential equations and quasilinear parabolic partial differential equations782 cited
  • 2000Backward stochastic differential equations and partial differential equations with quadratic growth763 cited
  • 2007G-Expectation, G-Brownian Motion and Related Stochastic Calculus of Itô Type621 cited
  • 1997Backward stochastic differential equations and integral-partial differential equations538 cited
  • 1994Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps526 cited
  • 2004Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations518 cited
  • 2004A numerical scheme for BSDEs371 cited
  • 2006BSDE with quadratic growth and unbounded terminal value314 cited

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2011
Wellposedness of second order backward SDEs
289 cited
  • 2007Quadratic BSDEs with convex generators and unbounded terminal conditions223 cited
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