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Second-order BSDEs with general reflection and game options under uncertainty
16 references·0 citing·36 second hop
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References

  • 1990Adapted solution of a backward stochastic differential equation2,676 cited
  • 1997Backward Stochastic Differential Equations in Finance2,339 cited
  • 1997Reflected solutions of backward SDE's, and related obstacle problems for PDE's704 cited
  • 2019Nonlinear Expectations and Stochastic Calculus under Uncertainty594 cited
  • 2006A theoretical framework for the pricing of contingent claims in the presence of model uncertainty352 cited
  • 1999Monotonic limit theorem of BSDE and nonlinear decomposition theorem of Doob–Meyers type347 cited
  • 1996Backward stochastic differential equations with reflection and Dynkin games321 cited
  • 2006Second‐order backward stochastic differential equations and fully nonlinear parabolic PDEs239 cited
  • 1995Zero-sum stochastic differential games and backward equations235 cited
  • 2008Stochastic Differential Games and Viscosity Solutions of Hamilton–Jacobi–Bellman–Isaacs Equations200 cited
  • 1981Stochastic Integration and $L^p$-Theory of Semimartingales179 cited
  • 1995On pathwise stochastic integration177 cited
  • 2011Quasi-sure Stochastic Analysis through Aggregation175 cited
  • 2007Stochastic Differential Games and Viscosity Solutions of Hamilton-Jacobi-Bellman-Isaacs Equations166 cited

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2013
Dual formulation of second order target problems
148 cited
  • 1995Backward equations, stochastic control and zero-sum stochastic differential games147 cited
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