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L p Theory for Super-Parabolic Backward Stochastic Partial Differential Equations in the Whole Space
16 references·0 citing·31 second hop
L p Theory for Super-Parabolic Backward Stochastic Partial Differential Equations in the Whole Space (2011)L p Theory for Super-Parabolic Backward S…Strong solution of backward stochastic partial differential equations in C 2 domains (2011)Strong solution of backward s…On the Itô–Wentzell formula for distribution-valued processes and related topics (2010)On the Itô–Wentzell formula f…Utility Maximization with Habit Formation: Dynamic Programming and Stochastic PDEs (2009)Utility Maximization with Hab…Lp solutions of backward stochastic differential equations (2003)Lp solutions of backward stoc…On semi-linear degenerate backward stochastic partial differential equations (2002)On semi-linear degenerate bac…Backward stochastic differential equations and partial differential equations with quadratic growth (2000)Backward stochastic different…On linear, degenerate backward stochastic partial differential equations (1999)On linear, degenerate backwar…The Maximum Principle for Partially Observed Optimal Control of Stochastic Differential Equations (1998)The Maximum Principle for Par…Backward Stochastic Differential Equations in Finance (1997)Backward Stochastic Different…On the Necessary Conditions of Optimal Controls for Stochastic Partial Differential Equations (1993)On the Necessary Conditions o…Stochastic Hamilton–Jacobi–Bellman Equations (1992)Stochastic Hamilton–Jacobi–Be…Adapted solution of a backward semilinear stochastic evolution equation (1991)Adapted solution of a backwar…Adapted solution of a backward stochastic differential equation (1990)Adapted solution of a backwar…Maximum principle and dynamic programming approaches of the optimal control of partially observed diffusions (1983)Maximum principle and dynamic…An Introductory Approach to Duality in Optimal Stochastic Control (1978)An Introductory Approach to D…Linear Quadratic Optimal Stochastic Control with Random Coefficients (1976)Linear Quadratic Optimal Stoc…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)A General Stochastic Maximum Principle for Optimal Control Problems (1990)Stochastic Flows and Stochastic Differential Equations (1998)The Maximum Principles for Stochastic Recursive Optimal Control Problems Under Partial Information (2009)Backward Stochastic Differential Equation, Nonlinear Expectation and Their Applications (2011)A mean-field stochastic maximum principle via Malliavin calculus (2012)Stochastic partial differential equations and filtering of diffusion processes (1980)Sufficient Stochastic Maximum Principle for the Optimal Control of Jump Diffusions and Applications to Finance (2004)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)Nonlinear Kolmogorov equations in infinite dimensional spaces: the backward stochastic differential equations approach and applications to optimal control (2002)Stochastic Integration and Differential Equations (2005)Brownian Motion and Stochastic Calculus (2007)Stochastic Maximum Principle for Optimal Control of SPDEs (2013)Controlled Diffusion Processes (1980)A Generalized dynamic programming principle and hamilton-jacobi-bellman equation (1992)The Pricing of Options and Corporate Liabilities (1973)Reflected solutions of backward SDE's, and related obstacle problems for PDE's (1997)Theory of rational option pricing (2005)Partial Differential Equations (2010)Backward stochastic differential equations and applications to optimal control (1993)Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs (1998)Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs. II (2000)Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework (2000)Mean-Variance Portfolio Selection with Random Parameters in a Complete Market (2002)$\epsilon$-Nash Mean Field Game Theory for Nonlinear Stochastic Dynamical Systems with Major and Minor Agents (2013)
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References

  • 1990Adapted solution of a backward stochastic differential equation2,676 cited
  • 1997Backward Stochastic Differential Equations in Finance2,339 cited
  • 2000Backward stochastic differential equations and partial differential equations with quadratic growth763 cited
  • 1978An Introductory Approach to Duality in Optimal Stochastic Control445 cited
  • 2003Lp solutions of backward stochastic differential equations367 cited
  • 1976Linear Quadratic Optimal Stochastic Control with Random Coefficients338 cited
  • 1992Stochastic Hamilton–Jacobi–Bellman Equations307 cited
  • 1983Maximum principle and dynamic programming approaches of the optimal control of partially observed diffusions177 cited
  • 1991Adapted solution of a backward semilinear stochastic evolution equation172 cited
  • 1998The Maximum Principle for Partially Observed Optimal Control of Stochastic Differential Equations169 cited
  • 1993On the Necessary Conditions of Optimal Controls for Stochastic Partial Differential Equations121 cited
  • 1999On linear, degenerate backward stochastic partial differential equations107 cited
  • 2010On the Itô–Wentzell formula for distribution-valued processes and related topics81 cited
  • 2009Utility Maximization with Habit Formation: Dynamic Programming and Stochastic PDEs74 cited

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  • 2002On semi-linear degenerate backward stochastic partial differential equations71 cited
  • 2011Strong solution of backward stochastic partial differential equations in C 2 domains50 cited
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