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A uniqueness theorem for the solution of Backward Stochastic Differential Equations
7 references·3 citing·28 second hop
A uniqueness theorem for the solution of Backward Stochastic Differential Equations (2008)A uniqueness theorem for the solution of …Quadratic BSDEs with convex generators and unbounded terminal conditions (2008)Quadratic BSDEs with convex g…Filtration-consistent nonlinear expectations and related g-expectations (2002)Filtration-consistent nonline…Backward stochastic differential equations and partial differential equations with quadratic growth (2000)Backward stochastic different…Backward Stochastic Differential Equations and Viscosity Solutions of Systems of Semilinear Parabolic and Elliptic PDEs of Second Order (1998)Backward Stochastic Different…Backward stochastic differential equations with continuous coefficient (1997)Backward stochastic different…Stochastic Analysis and Related Topics II (1990)Stochastic Analysis and Relat…Adapted solution of a backward stochastic differential equation (1990)Adapted solution of a backwar…General mean-field BSDEs with continuous coefficients (2018)General mean-field BSDEs with…One-dimensional BSDEs with finite and infinite time horizons (2010)One-dimensional BSDEs with fi…Backward stochastic differential equations with a uniformly continuous generator and related g -expectation (2010)Backward stochastic different…Backward Stochastic Differential Equations in Finance (1997)Nonlinear Expectations, Nonlinear Evaluations and Risk Measures (2004)Backward stochastic differential equations and quasilinear parabolic partial differential equations (2005)Utility maximization in incomplete markets (2005)BSDE with quadratic growth and unbounded terminal value (2006)Stochastic Differential Utility (1992)Ambiguity, Risk, and Asset Returns in Continuous Time (2002)NONLINEAR EXPECTATIONS AND NONLINEAR MARKOV CHAINS (2005)Optimal Stopping With Multiple Priors (2009)Survey on normal distributions, central limit theorem, Brownian motion and the related stochastic calculus under sublinear expectations (2009)Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework (2000)Brownian Motion and Stochastic Calculus (2007)The Malliavin Calculus and Related Topics (2006)Mean field games (2007)Continuous Martingales and Brownian Motion (1999)Monotone stability of quadratic semimartingales with applications to unbounded general quadratic BSDEs (2013)Multi-dimensional backward stochastic differential equations of diagonally quadratic generators (2015)Optimal investment–reinsurance strategy for mean–variance insurers with square-root factor process (2015)Backward Stochastic Differential Equations and Feynman-Kac Formula for Levy Processes, with Applications in Finance (2001)Nonlinear Kolmogorov equations in infinite dimensional spaces: the backward stochastic differential equations approach and applications to optimal control (2002)Controlled Markov Processes and Viscosity Solutions (2005)Maximum Principles for Optimal Control of Forward-Backward Stochastic Differential Equations with Jumps (2009)Bounded solutions, Lp(p>1) solutions and L1 solutions for one dimensional BSDEs under general assumptions (2015)Lp solutions of multidimensional BSDEs with weak monotonicity and general growth generators (2015)Quadratic BSDEs with convex generators and unbounded terminal conditions (2007)Covariance Identities and Inequalities for Functionals on Wiener and Poisson Spaces (1995)Optimal impulse control for a multidimensional cash management system with generalized cost functions (2008)Forward–backward linear quadratic stochastic optimal control problem with delay (2012)
this work references cited by second hop

References

  • 1990Adapted solution of a backward stochastic differential equation2,676 cited
  • 2000Backward stochastic differential equations and partial differential equations with quadratic growth763 cited
  • 1997Backward stochastic differential equations with continuous coefficient354 cited
  • 2002Filtration-consistent nonlinear expectations and related g-expectations256 cited
  • 1998Backward Stochastic Differential Equations and Viscosity Solutions of Systems of Semilinear Parabolic and Elliptic PDEs of Second Order213 cited
  • 2008Quadratic BSDEs with convex generators and unbounded terminal conditions185 cited
  • 1990Stochastic Analysis and Related Topics II68 cited

Cited by

  • 2018General mean-field BSDEs with continuous coefficients28 cited
  • 2010Backward stochastic differential equations with a uniformly continuous generator and related g -expectation28 cited
  • 2010One-dimensional BSDEs with finite and infinite time horizons28 cited

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