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Multidimensional backward stochastic differential equations with uniformly continuous coefficients
16 references·8 citing·28 second hop
Multidimensional backward stochastic differential equations with uniformly continuous coefficients (2003)Multidimensional backward stochastic diff…Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…Backward stochastic differential equations and quasilinear parabolic partial differential equations (2005)Backward stochastic different…Backward stochastic differential equations and partial differential equations with quadratic growth (2000)Backward stochastic different…Continuous Martingales and Brownian Motion (1999)Continuous Martingales and Br…Existence for BSDE with superlinear–quadratic coefficient (1998)Existence for BSDE with super…Backwards SDE with random terminal time and applications to semilinear elliptic PDE (1997)Backwards SDE with random ter…Backward stochastic differential equations with continuous coefficient (1997)Backward stochastic different…Backward Stochastic Differential Equations in Finance (1997)Backward Stochastic Different…Backward stochastic differential equations with reflection and Dynkin games (1996)Backward stochastic different…Zero-sum stochastic differential games and backward equations (1995)Zero-sum stochastic different…Backward equations, stochastic control and zero-sum stochastic differential games (1995)Backward equations, stochasti…Backward doubly stochastic differential equations and systems of quasilinear SPDEs (1994)Backward doubly stochastic di…Probabilistic interpretation for systems of quasilinear parabolic partial differential equations (1991)Probabilistic interpretation …Continuous Martingales and Brownian Motion (1991)Continuous Martingales and Br…Adapted solution of a backward stochastic differential equation (1990)Adapted solution of a backwar…Brownian Motion and Stochastic Calculus. (1989)Brownian Motion and Stochasti…General mean-field BSDEs with continuous coefficients (2018)General mean-field BSDEs with…Lp solutions of multidimensional BSDEs with weak monotonicity and general growth generators (2015)Lp solutions of multidimensio…Bounded solutions, Lp(p>1) solutions and L1 solutions for one dimensional BSDEs under general assumptions (2015)Bounded solutions, Lp(p>1) so…Multidimensional BSDEs with weak monotonicity and general growth generators (2013)Multidimensional BSDEs with w…Anticipated backward stochastic differential equations with non-Lipschitz coefficients (2011)Anticipated backward stochast…One-dimensional BSDEs with finite and infinite time horizons (2010)One-dimensional BSDEs with fi…LpSolutions of One-Dimensional Backward Stochastic Differential Equations with Continuous Coefficients (2010)LpSolutions of One-Dimensiona…NON-LIPSCHITZ BACKWARD STOCHASTIC VOLTERRA TYPE EQUATIONS WITH JUMPS (2007)NON-LIPSCHITZ BACKWARD STOCHA…Brownian Motion and Stochastic Calculus (1988)Solving forward-backward stochastic differential equations explicitly — a four step scheme (1994)Reflected solutions of backward SDE's, and related obstacle problems for PDE's (1997)The Pricing of Options and Corporate Liabilities (1973)Theory of rational option pricing (2005)Partial Differential Equations (2010)Stochastic Differential Equations and Diffusion Processes (1983)A General Stochastic Maximum Principle for Optimal Control Problems (1990)Solution of forward-backward stochastic differential equations (1995)Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control (1999)Lp solutions of backward stochastic differential equations (2003)Nonlinear Expectations, Nonlinear Evaluations and Risk Measures (2004)Utility maximization in incomplete markets (2005)BSDE with quadratic growth and unbounded terminal value (2006)The Variance Gamma Process and Option Pricing (1998)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Controlled Markov Processes and Viscosity Solutions (2005)Backward Stochastic Differential Equations and Viscosity Solutions of Systems of Semilinear Parabolic and Elliptic PDEs of Second Order (1998)Quadratic BSDEs with convex generators and unbounded terminal conditions (2007)Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework (2000)A general version of the fundamental theorem of asset pricing (1994)Arbitrage Theory in Continuous Time (1998)Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options (2003)Chapter 49 Arch models (1994)High-Frequency Data and Volatility in Foreign-Exchange Rates (1996)Expectation puzzles, time-varying risk premia, and affine models of the term structure (2002)
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References

  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 1999Continuous Martingales and Brownian Motion6,200 cited
  • 1990Adapted solution of a backward stochastic differential equation2,676 cited
  • 1997Backward Stochastic Differential Equations in Finance2,339 cited
  • 1991Continuous Martingales and Brownian Motion1,957 cited
  • 1989Brownian Motion and Stochastic Calculus.921 cited
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  • 2000Backward stochastic differential equations and partial differential equations with quadratic growth763 cited
  • 1991Probabilistic interpretation for systems of quasilinear parabolic partial differential equations518 cited
  • 1997Backward stochastic differential equations with continuous coefficient354 cited
  • 1994Backward doubly stochastic differential equations and systems of quasilinear SPDEs337 cited
  • 1996Backward stochastic differential equations with reflection and Dynkin games321 cited
  • 1995Zero-sum stochastic differential games and backward equations235 cited
  • 1997Backwards SDE with random terminal time and applications to semilinear elliptic PDE193 cited
  • 1995Backward equations, stochastic control and zero-sum stochastic differential games

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147 cited
  • 1998Existence for BSDE with superlinear–quadratic coefficient130 cited
  • Cited by

    • 2007NON-LIPSCHITZ BACKWARD STOCHASTIC VOLTERRA TYPE EQUATIONS WITH JUMPS45 cited
    • 2018General mean-field BSDEs with continuous coefficients28 cited
    • 2010One-dimensional BSDEs with finite and infinite time horizons28 cited
    • 2015Bounded solutions, Lp(p>1) solutions and L1 solutions for one dimensional BSDEs under general assumptions26 cited
    • 2015Lp solutions of multidimensional BSDEs with weak monotonicity and general growth generators25 cited
    • 2013Multidimensional BSDEs with weak monotonicity and general growth generators23 cited
    • 2010LpSolutions of One-Dimensional Backward Stochastic Differential Equations with Continuous Coefficients23 cited
    • 2011Anticipated backward stochastic differential equations with non-Lipschitz coefficients20 cited