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On Zero-Sum Stochastic Differential Games with Jump-Diffusion Driven State: A Viscosity Solution Framework
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On Zero-Sum Stochastic Differential Games with Jump-Diffusion Driven State: A Viscosity Solution Framework (2012)On Zero-Sum Stochastic Differential Games…Erratum: "A Corrected Proof of the Stochastic Verification Theorem within the Framework of Viscosity Solutions" (2010)Erratum: "A Corrected Proof o…RISK INDIFFERENCE PRICING IN JUMP DIFFUSION MARKETS (2009)RISK INDIFFERENCE PRICING IN …Stochastic Differential Games and Viscosity Solutions of Hamilton–Jacobi–Bellman–Isaacs Equations (2008)Stochastic Differential Games…Risk minimizing portfolios and HJBI equations for stochastic differential games (2008)Risk minimizing portfolios an…Switching Games of Stochastic Differential Systems (2007)Switching Games of Stochastic…Stochastic Differential Games and Viscosity Solutions of Hamilton-Jacobi-Bellman-Isaacs Equations (2007)Stochastic Differential Games…Malliavin calculus on the Wiener–Poisson space and its application to canonical SDE with jumps (2006)Malliavin calculus on the Wie…Stochastic Integration and Differential Equations (2005)Stochastic Integration and Di…Controlled Markov Processes and Viscosity Solutions (2005)Controlled Markov Processes a…Applied Stochastic Control of Jump Diffusions (2005)Applied Stochastic Control of…A Corrected Proof of the Stochastic Verification Theorem within the Framework of Viscosity Solutions (2005)A Corrected Proof of the Stoc…Stochastic controls : Hamiltonian systems and HJB equations (1999)Stochastic controls : Hamilto…Stochastic Verification Theorems within the Framework of Viscosity Solutions (1997)Stochastic Verification Theor…Backward stochastic differential equations and integral-partial differential equations (1997)Backward stochastic different…Nonlinear variational inequalities and differential games with stopping times (1974)Nonlinear variational inequal…The Pricing of Options and Corporate Liabilities (1973)Stochastic Differential Equations and Diffusion Processes (1983)Martingale Methods in Financial Modelling (1997)Brownian Motion and Stochastic Calculus (2007)Mean field games (2007)Adapted solution of a backward stochastic differential equation (1990)Nonlinear Expectations, Nonlinear Evaluations and Risk Measures (2004)A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models (2005)Backward stochastic differential equations and quasilinear parabolic partial differential equations (2005)Mean-field backward stochastic differential equations and related partial differential equations (2009)Backward Stochastic Differential Equations in Finance (1997)Two Person Zero-Sum Game in Weak Formulation and Path Dependent Bellman--Isaacs Equation (2014)Leader–follower stochastic differential game with asymmetric information and applications (2015)Portfolio Optimization with Ambiguous Correlation and Stochastic Volatilities (2016)Maxmin expected utility with non-unique prior (1989)Coherent Measures of Risk (1999)Stochastic Differential Equations (2003)Maximum Principles for Optimal Control of Forward-Backward Stochastic Differential Equations with Jumps (2009)Robust optimal excess-of-loss reinsurance and investment strategy for an insurer in a model with jumps (2017)Stochastic differential games for optimal investment problems in a Markov regime-switching jump-diffusion market (2020)The Malliavin Calculus and Related Topics (1995)Stochastic Flows and Stochastic Differential Equations (1998)The Malliavin Calculus and Related Topics (2006)Absolute continuity for some one-dimensional processes (2008)Credit Risk Models with Incomplete Information (2009)Absolute continuity for some one-dimensional processes (2010)The convergence problem for differential games (1961)Diffusion processes with continuous coefficients, I (1969)Stochastic differential games (1972)Sur un problème de dynkin (1977)Nonzero-Sum Stochastic Games (1999)Optimal Stopping Games for Markov Processes (2008)Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework (2000)G-Expectation, G-Brownian Motion and Related Stochastic Calculus of Itô Type (2007)Nonlinear Expectations and Stochastic Calculus under Uncertainty (2019)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)Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis and Computation (2007)Uncertainty, Time‐Varying Fear, and Asset Prices (2013)Fluctuations of Lévy Processes with Applications (2014)Backward Stochastic Differential Equation, Nonlinear Expectation and Their Applications (2011)
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References

  • 2005Stochastic Integration and Differential Equations4,594 cited
  • 2005Controlled Markov Processes and Viscosity Solutions2,698 cited
  • 1999Stochastic controls : Hamiltonian systems and HJB equations1,780 cited
  • 2005Applied Stochastic Control of Jump Diffusions883 cited
  • 1997Backward stochastic differential equations and integral-partial differential equations538 cited
  • 2008Stochastic Differential Games and Viscosity Solutions of Hamilton–Jacobi–Bellman–Isaacs Equations200 cited
  • 2007Stochastic Differential Games and Viscosity Solutions of Hamilton-Jacobi-Bellman-Isaacs Equations166 cited
  • 2008Risk minimizing portfolios and HJBI equations for stochastic differential games165 cited
  • 1974Nonlinear variational inequalities and differential games with stopping times103 cited
  • 2006Malliavin calculus on the Wiener–Poisson space and its application to canonical SDE with jumps90 cited
  • 1997Stochastic Verification Theorems within the Framework of Viscosity Solutions51 cited
  • 2010Erratum: "A Corrected Proof of the Stochastic Verification Theorem within the Framework of Viscosity Solutions"45 cited
  • 2009RISK INDIFFERENCE PRICING IN JUMP DIFFUSION MARKETS38 cited
  • 2005A Corrected Proof of the Stochastic Verification Theorem within the Framework of Viscosity Solutions35 cited

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  • 2007Switching Games of Stochastic Differential Systems34 cited
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