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On the robustness of backward stochastic differential equations · Study

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ArticleOn the robustness of backward stochastic differential equations

Philippe Briand2002

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Articlebronze2002

On the robustness of backward stochastic differential equations

Philippe Briand · Bernard Delyon · Jean Mémin

71 citations·0/0 files stored·Stochastic Processes and their Applications

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Stochastic processes and financial applications Nonlinear Differential Equations Analysis Fuzzy Systems and Optimization

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References

1999Continuous Martingales and Brownian Motion 1990Adapted solution of a backward stochastic differential equation 1997Backward Stochastic Differential Equations in Finance 2014Stochastic Integration and Differential Equations : A New Approach 1997Backward stochastic differential equations and integral-partial differential equations 1989Stopping Times and Tightness. II 1992CONTINUOUS MARTINGALES AND BROWNIAN MOTION 1998Generalized BSDEs and nonlinear Neumann boundary value problems

Cited by

2010Extending dynamic convex risk measures from discrete time to continuous time: A convergence approach 2018A unified approach to a priori estimates for supersolutions of BSDEs in general filtrations 2018Existence and uniqueness results for BSDE with jumps: the whole nine yards 2014BSDEs under partial information and financial applications 2010Numerical algorithms for backward stochastic differential equations with 1-d brownian motion: Convergence and simulations

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Year2002

Typearticle

Published2002-02-01

VenueStochastic Processes and their Applications

ISSN-L0304-4149

Languageen

Citations71

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/s0304-4149(01)00131-4

openalex_workW2016859865

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2013

BS$\Delta$Es and BSDEs with non-Lipschitz drivers: Comparison, convergence and robustness

2016Simulation of BSDEs with jumps by Wiener Chaos expansion

2023Numerical methods for backward stochastic differential equations: A survey