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Averaging of backward stochastic differential equations, with application to semi-linear pde's
2 references·1 citing·9 second hop
Averaging of backward stochastic differential equations, with application to semi-linear pde's (1997)Averaging of backward stochastic differen…Adapted solution of a backward stochastic differential equation (1990)Adapted solution of a backwar…Tightness criteria for laws of semimartingales (1984)Tightness criteria for laws o…BSDE driven by Dirichlet process and semi-linear parabolic PDE. Application to homogenization (2002)BSDE driven by Dirichlet proc…Solving forward-backward stochastic differential equations explicitly — a four step scheme (1994)Stochastic Integration and Differential Equations : A New Approach (2014)Backward Stochastic Differential Equations in Finance (1997)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)Weak convergence of stochastic integrals and differential equations II: Infinite dimensional case (1996)Backward SDEs with constrained jumps and quasi-variational inequalities (2010)Weak and strong solutions of general stochastic models (2014)
this work references cited by second hop

References

  • 1990Adapted solution of a backward stochastic differential equation2,676 cited
  • 1984Tightness criteria for laws of semimartingales177 cited

Cited by

  • 2002BSDE driven by Dirichlet process and semi-linear parabolic PDE. Application to homogenization27 cited

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