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Stability of BSDEs with Random Terminal Time and Homogenization of Semilinear Elliptic PDEs
6 references·16 citing·32 second hop
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References

  • 1997Backward Stochastic Differential Equations in Finance2,339 cited
  • 1976Stochastic Differential Equations and Applications1,378 cited
  • 2005Backward stochastic differential equations and quasilinear parabolic partial differential equations782 cited
  • 1991Probabilistic interpretation for systems of quasilinear parabolic partial differential equations518 cited
  • 1997Backwards SDE with random terminal time and applications to semilinear elliptic PDE193 cited
  • 1992Stochastic Partial Differential Equations and Their Applications126 cited

Cited by

  • 1999BSDEs with polynomial growth generators80 cited
  • 2009Ergodic BSDEs and Optimal Ergodic Control in Banach Spaces67 cited
  • 2004BSDE s with a random terminal time driven by a monotone generator and their links with PDE s65 cited
  • 2010Ergodic BSDEs under weak dissipative assumptions62 cited
  • 2018$N$-player games and mean-field games with absorption51 cited
  • 2018Existence and uniqueness results for BSDE with jumps: the whole nine yards42 cited
  • 2016Long time asymptotics for fully nonlinear Bellman equations: A backward SDE approach33 cited
  • 2017Representation of Homothetic Forward Performance Processes in Stochastic Factor Models via Ergodic and Infinite Horizon BSDE32 cited

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  • 2009Ergodic BSDEs and related PDEs with Neumann boundary conditions30 cited
  • 2007BSDE on an infinite horizon and elliptic PDEs in infinite dimension29 cited
  • 2015Numerical Stability Analysis of the Euler Scheme for BSDEs29 cited
  • 2018An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior28 cited
  • 2015BSDEs of counterparty risk27 cited
  • 2020Second order backward SDE with random terminal time27 cited
  • 2013Ergodic BSDEs Driven by Markov Chains26 cited
  • 2016Generalized Hamilton--Jacobi--Bellman Equations with Dirichlet Boundary Condition and Stochastic Exit Time Optimal Control Problem25 cited