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Anticipated backward stochastic differential equations with non-Lipschitz coefficients
14 references·0 citing·29 second hop
Anticipated backward stochastic differential equations with non-Lipschitz coefficients (2011)Anticipated backward stochastic different…ANTICIPATED BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS 1 (2012)ANTICIPATED BACKWARD STOCHAST…Anticipated backward stochastic differential equations (2009)Anticipated backward stochast…Stochastic Methods in Finance (2004)Stochastic Methods in FinanceNonlinear Expectations, Nonlinear Evaluations and Risk Measures (2004)Nonlinear Expectations, Nonli…Multidimensional backward stochastic differential equations with uniformly continuous coefficients (2003)Multidimensional backward sto…Lp solutions of backward stochastic differential equations (2003)Lp solutions of backward stoc…Existence and Uniqueness of Solutions for BSDEs with Locally Lipschitz Coefficient (2002)Existence and Uniqueness of S…Équations différentielles stochastiques rétrogrades à coefficient localement lipschitzien (2001)Équations différentielles sto…Backward stochastic differential equations with locally Lipschitz coefficient (2001)Backward stochastic different…On solutions of backward stochastic differential equations with jumps and applications (1997)On solutions of backward stoc…Backward stochastic differential equations with continuous coefficient (1997)Backward stochastic different…Adapted solutions of backward stochastic differential equations with non-Lipschitz coefficients (1995)Adapted solutions of backward…Adapted solution of a backward stochastic differential equation (1990)Adapted solution of a backwar…Stochastic Differential Equations and Diffusion Processes (1983)Stochastic Differential Equat…Controlled Diffusion Processes (1980)A General Stochastic Maximum Principle for Optimal Control Problems (1990)Backward Stochastic Differential Equations and Feynman-Kac Formula for Levy Processes, with Applications in Finance (2001)Sufficient Stochastic Maximum Principle for the Optimal Control of Jump Diffusions and Applications to Finance (2004)Paris-Princeton Lectures on Mathematical Finance 2010 (2010)Probabilistic interpretation for systems of quasilinear parabolic partial differential equations (1991)Backward stochastic differential equations and quasilinear parabolic partial differential equations (2005)Comparison Theorems of Backward Doubly Stochastic Differential Equations and Applications (2005)Backward Stochastic Differential Equations in Finance (1997)Continuous Martingales and Brownian Motion (1999)Quadratic BSDEs with convex generators and unbounded terminal conditions (2007)Quadratic BSDEs with convex generators and unbounded terminal conditions (2008)Dynamic programming approach to principal–agent problems (2017)Reflected solutions of backward SDE's, and related obstacle problems for PDE's (1997)Monotonic limit theorem of BSDE and nonlinear decomposition theorem of Doob–Meyers type (1999)Optimal control of stochastic delay equations and time-advanced backward stochastic differential equations (2011)The stochastic maximum principle for optimal control problems of delay systems involving continuous and impulse controls (2012)A Stochastic Maximum Principle for a Markov Regime-Switching Jump-Diffusion Model with Delay and an Application to Finance (2017)Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework (2000)Brownian Motion and Stochastic Calculus (2007)Existence, uniqueness and stability of backward stochastic differential equations with locally monotone coefficient (2002)Forward-Backward Stochastic Differential Equations and their Applications (2007)NON-LIPSCHITZ BACKWARD STOCHASTIC VOLTERRA TYPE EQUATIONS WITH JUMPS (2007)Existence and uniqueness results for BSDE with jumps: the whole nine yards (2018)Coherent Measures of Risk (1999)Rate of convergence of an empirical regression method for solving generalized backward stochastic differential equations (2006)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Controlled Markov Processes and Viscosity Solutions (2005)Backward Stochastic Differential Equations and Viscosity Solutions of Systems of Semilinear Parabolic and Elliptic PDEs of Second Order (1998)
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