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Backward stochastic differential equations with rough drivers
15 references·3 citing·36 second hop
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this work references cited by second hop

References

  • 1990Adapted solution of a backward stochastic differential equation2,676 cited
  • 1997Backward Stochastic Differential Equations in Finance2,339 cited
  • 2000Backward stochastic differential equations and partial differential equations with quadratic growth763 cited
  • 2010Multidimensional Stochastic Processes as Rough Paths750 cited
  • 1997Backward stochastic differential equations and integral-partial differential equations538 cited
  • 2002System Control and Rough Paths519 cited
  • 2007Differential Equations Driven by Rough Paths381 cited
  • 1994Backward doubly stochastic differential equations and systems of quasilinear SPDEs337 cited
  • 1994Differential equations driven by rough signals (I): an extension of an inequality of L. C. Young174 cited
  • 2006Rough evolution equations120 cited
  • 2001Stochastic viscosity solutions for nonlinear stochastic partial differential equations. Part I107 cited
  • 2010Rough evolution equations102 cited
  • 2010A (rough) pathwise approach to a class of non-linear stochastic partial differential equations90 cited
  • 2011Non-linear rough heat equations73 cited
  • 2009Partial differential equations driven by rough paths56 cited

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Cited by

  • 2020Backward doubly stochastic Volterra integral equations and their applications30 cited
  • 2017Stochastic partial differential equations: a rough paths view on weak solutions via Feynman–Kac29 cited
  • 2017Improved error bounds for quantization based numerical schemes for BSDE and nonlinear filtering28 cited