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Backward stochastic Volterra integral equations and some related problems
16 references·16 citing·30 second hopsampled
Backward stochastic Volterra integral equations and some related problems (2006)Backward stochastic Volterra integral equ…Forward-Backward Stochastic Differential Equations and their Applications (2007)Forward-Backward Stochastic D…Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…Lp solutions of backward stochastic differential equations (2003)Lp solutions of backward stoc…Ambiguity, Risk, and Asset Returns in Continuous Time (2002)Ambiguity, Risk, and Asset Re…A dynamic maximum principle for the optimization of recursive utilities under constraints (2001)A dynamic maximum principle f…Backward stochastic differential equations and partial differential equations with quadratic growth (2000)Backward stochastic different…Stochastic controls : Hamiltonian systems and HJB equations (1999)Stochastic controls : Hamilto…Optimal Consumption and Portfolio Selection with Stochastic Differential Utility (1999)Optimal Consumption and Portf…Forward-Backward Stochastic Differential Equations and Their Applications (1999)Forward-Backward Stochastic D…Backward Stochastic Differential Equations in Finance (1997)Backward Stochastic Different…Continuous-time security pricing (1994)Continuous-time security pric…Stochastic Differential Utility (1992)Stochastic Differential Utili…Asset Pricing with Stochastic Differential Utility (1992)Asset Pricing with Stochastic…Adapted solution of a backward stochastic differential equation (1990)Adapted solution of a backwar…Brownian Motion and Stochastic Calculus. 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References

  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 1983Stochastic Differential Equations and Diffusion Processes3,836 cited
  • 1990Adapted solution of a backward stochastic differential equation2,676 cited
  • 1997Backward Stochastic Differential Equations in Finance2,339 cited
  • 1999Stochastic controls : Hamiltonian systems and HJB equations1,780 cited
  • 1992Stochastic Differential Utility1,165 cited
  • 2002Ambiguity, Risk, and Asset Returns in Continuous Time1,073 cited
  • 1989Brownian Motion and Stochastic Calculus.921 cited
  • 2000Backward stochastic differential equations and partial differential equations with quadratic growth763 cited
  • 2007Forward-Backward Stochastic Differential Equations and their Applications675 cited
  • 1992Asset Pricing with Stochastic Differential Utility486 cited
  • 2003Lp solutions of backward stochastic differential equations367 cited
  • 1999Optimal Consumption and Portfolio Selection with Stochastic Differential Utility312 cited
  • 1999Forward-Backward Stochastic Differential Equations and Their Applications258 cited
  • 1994Continuous-time security pricing241 cited

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2001
A dynamic maximum principle for the optimization of recursive utilities under constraints
155 cited

Cited by

  • 2007Well-posedness and regularity of backward stochastic Volterra integral equations107 cited
  • 2015Malliavin Calculus and Optimal Control of Stochastic Volterra Equations70 cited
  • 2013Stochastic Stackelberg equilibria with applications to time-dependent newsvendor models65 cited
  • 2009Dynamic Asset Allocation: Portfolio Decomposition Formula and Applications64 cited
  • 2007Continuous-time dynamic risk measures by backward stochastic Volterra integral equations61 cited
  • 2013Mean-field backward stochastic Volterra integral equations48 cited
  • 2009On Solutions of Backward Stochastic Volterra Integral Equations with Jumps in Hilbert Spaces43 cited
  • 2019Backward stochastic Volterra integral equations—Representation of adapted solutions42 cited
  • 2014Comparison theorems for some backward stochastic Volterra integral equations39 cited
  • 2015Optimal control problems of forward-backward stochastic Volterra integral equations39 cited
  • 2019Recursive Utility Processes, Dynamic Risk Measures and Quadratic Backward Stochastic Volterra Integral Equations38 cited
  • 2021Linear-quadratic control for a class of stochastic Volterra equations: Solvability and approximation35 cited
  • 2020Backward doubly stochastic Volterra integral equations and their applications30 cited
  • 2018Linear Volterra backward stochastic integral equations30 cited
  • 2012SOLVABILITY OF GENERAL BACKWARD STOCHASTIC VOLTERRA INTEGRAL EQUATIONS28 cited
  • 2013On a class of backward stochastic Volterra integral equations28 cited