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On Weak Solutions of Backward Stochastic Differential Equations
16 references·0 citing·28 second hop
On Weak Solutions of Backward Stochastic Differential Equations (2005)On Weak Solutions of Backward Stochastic …Stochastic Integration and Differential Equations : A New Approach (2014)Stochastic Integration and Di…Backward Stochastic Differential Equations (2013)Backward Stochastic Different…Stochastic Integration and Differential Equations (2005)Stochastic Integration and Di…On one-dimensional stochastic differential equations with generalized drift (2005)On one-dimensional stochastic…Continuous Martingales and Brownian Motion (1999)Continuous Martingales and Br…Backward stochastic differential equations with continuous coefficient (1997)Backward stochastic different…Adapted solution of a backward stochastic differential equation (1990)Adapted solution of a backwar…Strong Markov Continuous Local Martingales and Solutions of One‐Dimensional Stochastic Differential Equations (Part I) (1989)Strong Markov Continuous Loca…On solutions of one-dimensional stochastic differential equations without drift (1985)On solutions of one-dimension…Tightness criteria for laws of semimartingales (1984)Tightness criteria for laws o…Controlled Diffusion Processes (1980)Controlled Diffusion ProcessesCalcul Stochastique et Problèmes de Martingales (1979)Calcul Stochastique et Problè…A TRANSFORMATION OF THE PHASE SPACE OF A DIFFUSION PROCESS THAT REMOVES THE DRIFT (1974)A TRANSFORMATION OF THE PHASE…On the uniqueness of solutions of stochastic differential equations (1971)On the uniqueness of solution…On Itô’s Stochastic Integral Equations (1969)On Itô’s Stochastic Integral …On stochastic differential equations (1951)On stochastic differential eq…Backward Stochastic Differential Equations in Finance (1997)Backward Stochastic Differential Equations and Viscosity Solutions of Systems of Semilinear Parabolic and Elliptic PDEs of Second Order (1998)Nonlinear Expectations, Nonlinear Evaluations and Risk Measures (2004)Quadratic BSDEs with convex generators and unbounded terminal conditions (2007)Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework (2000)Backward stochastic differential equations and quasilinear parabolic partial differential equations (2005)Brownian Motion and Stochastic Calculus (2007)Stochastic Differential Utility (1992)Martingale Methods in Financial Modelling (1997)Arbitrage Theory in Continuous Time (1998)A stochastic calculus model of continuous trading: Complete markets (1983)Stochastic differential equations with reflecting boundary conditions (1984)The Variance Gamma Process and Option Pricing (1998)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)Option pricing by Esscher transforms. (1995)Estimating quadratic variation using realized variance (2002)Common Failings: How Corporate Defaults Are Correlated (2007)Modeling Term Structures of Defaultable Bonds (1999)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The distribution of realized stock return volatility (2001)The fundamental theorem of asset pricing for unbounded stochastic processes (1998)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)Time-changed Lévy processes and option pricing (2003)Diffusion processes with continuous coefficients, I (1969)Entropy search for information-efficient global optimization (2012)ON STRONG SOLUTIONS AND EXPLICIT FORMULAS FOR SOLUTIONS OF STOCHASTIC INTEGRAL EQUATIONS (1981)Optimization of the flow of dividends (1995)Ergodic Control of Diffusion Processes (2011)
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References

  • 1999Continuous Martingales and Brownian Motion6,200 cited
  • 2005Stochastic Integration and Differential Equations4,594 cited
  • 1990Adapted solution of a backward stochastic differential equation2,676 cited
  • 1980Controlled Diffusion Processes1,311 cited
  • 1979Calcul Stochastique et Problèmes de Martingales1,161 cited
  • 1971On the uniqueness of solutions of stochastic differential equations848 cited
  • 1951On stochastic differential equations832 cited
  • 2014Stochastic Integration and Differential Equations : A New Approach686 cited
  • 1974A TRANSFORMATION OF THE PHASE SPACE OF A DIFFUSION PROCESS THAT REMOVES THE DRIFT430 cited
  • 1997Backward stochastic differential equations with continuous coefficient354 cited
  • 1984Tightness criteria for laws of semimartingales177 cited
  • 2013Backward Stochastic Differential Equations159 cited
  • 1989Strong Markov Continuous Local Martingales and Solutions of One‐Dimensional Stochastic Differential Equations (Part I)124 cited
  • 2005On one-dimensional stochastic differential equations with generalized drift109 cited
  • 1969On Itô’s Stochastic Integral Equations98 cited

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1985
On solutions of one-dimensional stochastic differential equations without drift
85 cited

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