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Forward–backward stochastic differential equations with nonsmooth coefficients
16 references·1 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
  • 1992Stochastic Differential Utility1,165 cited
  • 1994Solving forward-backward stochastic differential equations explicitly — a four step scheme740 cited
  • 1991Probabilistic interpretation for systems of quasilinear parabolic partial differential equations518 cited
  • 1992Asset Pricing with Stochastic Differential Utility486 cited
  • 1995Solution of forward-backward stochastic differential equations402 cited
  • 1993Backward-Forward Stochastic Differential Equations345 cited
  • 1999Forward-backward stochastic differential equations and quasilinear parabolic PDEs329 cited
  • 1999Forward-Backward Stochastic Differential Equations and Their Applications258 cited
  • 1996Hedging options for a large investor and forward-backward SDE's207 cited
  • 1997Finding adapted solutions of forward–backward stochastic differential equations: method of continuation189 cited
  • 1976Théorie probabiliste du contrôle des diffusions138 cited
  • 1992PDE solutions of stochastic differential utility123 cited
  • 1999Linear ForwardBackward Stochastic Differential Equations

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84 cited
  • 1995Black's Consol Rate Conjecture62 cited
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    • 2004Existence of Optimal Stochastic Controls and Global Solutions of Forward-Backward Stochastic Differential Equations24 cited