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Generalized fractional smoothness and Lp -variation of BSDEs with non-Lipschitz terminal condition

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References

2004Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations518 cited
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2004A numerical scheme for BSDEs371 cited
2003Lp solutions of backward stochastic differential equations367 cited
2002On the existence and uniqueness of solutions to FBSDEs in a non-degenerate case267 cited
2006Rate of convergence of an empirical regression method for solving generalized backward stochastic differential equations171 cited
2002Representation theorems for backward stochastic differential equations137 cited
2005Sensitivity Analysis Using Itô--Malliavin Calculus and Martingales, and Application to Stochastic Optimal Control93 cited
2009On irregular functionals of SDEs and the Euler scheme85 cited
2001Discrete time hedging errors for options with irregular payoffs72 cited
2010L2 -time regularity of BSDEs with irregular terminal functions48 cited
2004On approximation of a class of stochastic integrals and interpolation46 cited

Cited by

2017Improved error bounds for quantization based numerical schemes for BSDE and nonlinear filtering28 cited
2017Weak rate of convergence of the Euler–Maruyama scheme for stochastic differential equations with non-regular drift

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28 cited

2014Almost sure optimal hedging strategy25 cited