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Backward stochastic variational inequalities
8 references·2 citing·33 second hop
Backward stochastic variational inequalities (1999)Backward stochastic variational inequalit…On linear, degenerate backward stochastic partial differential equations (1999)On linear, degenerate backwar…Continuous Martingales and Brownian Motion (1999)Continuous Martingales and Br…Backward stochastic differential equations with subdifferential operator and related variational inequalities (1998)Backward stochastic different…Backward Stochastic Differential Equations and Viscosity Solutions of Systems of Semilinear Parabolic and Elliptic PDEs of Second Order (1998)Backward Stochastic Different…Backwards SDE with random terminal time and applications to semilinear elliptic PDE (1997)Backwards SDE with random ter…Adapted solution of a degenerate backward spde, with applications (1997)Adapted solution of a degener…Adapted solution of a backward stochastic differential equation (1990)Adapted solution of a backwar…Semimartingales: A course on stochastic processes (1986)Semimartingales: A course on …Optimal Stopping Problem for Stochastic Differential Equations with Random Coefficients (2009)Optimal Stopping Problem for …On backward stochastic evolution equations in Hilbert spaces and optimal control (2006)On backward stochastic evolut…Lectures on stochastic control (1982)Backward stochastic differential equations and applications to optimal control (1993)A revisit to W2n -theory of super-parabolic backward stochastic partial differential equations in Rd (2010)Optimal control problem for stochastic evolution equations in Hilbert spaces (2010)Continuous Martingales and Brownian Motion (1991)Generalized BSDEs and nonlinear Neumann boundary value problems (1998)Reflected BSDE's with discontinuous barrier and application (2002)Reflected and doubly reflected BSDEs with jumps: A priori estimates and comparison (2008)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)Stochastic Hamilton–Jacobi–Bellman Equations (1992)On the optimal stopping problem for one-dimensional diffusions (2003)Stochastic Differential Equations and Applications (1976)Backward stochastic differential equations with reflection and Dynkin games (1996)Reflected solutions of backward SDE's, and related obstacle problems for PDE's (1997)Reflected forward‐backward SDEs and obstacle problems with boundary conditions (1999)Infinite horizon backward stochastic differential equations and elliptic equations in Hilbert spaces (2004)Backward Stochastic Differential Equations (2014)Backward Stochastic Differential Equations in Finance (1997)Utility Maximization with Habit Formation: Dynamic Programming and Stochastic PDEs (2009)On non-Markovian forward–backward SDEs and backward stochastic PDEs (2012)Stochastic Integration and Differential Equations (2005)Strong solution of backward stochastic partial differential equations in C 2 domains (2011)Backward Stochastic Differential Equations and Feynman-Kac Formula for Levy Processes, with Applications in Finance (2001)Nonlinear Kolmogorov equations in infinite dimensional spaces: the backward stochastic differential equations approach and applications to optimal control (2002)Controlled Markov Processes and Viscosity Solutions (2005)Maximum Principles for Optimal Control of Forward-Backward Stochastic Differential Equations with Jumps (2009)The Variance Gamma Process and Option Pricing (1998)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)McKean-Vlasov Ito-Skorohod equations, and nonlinear diffusions with discrete jump sets (1992)Differential Subordination and Strong Differential Subordination for Continuous-Time Martingales and Related Sharp Inequalities (1995)Useful Martingales for Stochastic Storage Processes with Lévy-Type Input (2013)
this work references cited by second hop

References

  • 1999Continuous Martingales and Brownian Motion6,200 cited
  • 1990Adapted solution of a backward stochastic differential equation2,676 cited
  • 1998Backward Stochastic Differential Equations and Viscosity Solutions of Systems of Semilinear Parabolic and Elliptic PDEs of Second Order213 cited
  • 1986Semimartingales: A course on stochastic processes199 cited
  • 1997Backwards SDE with random terminal time and applications to semilinear elliptic PDE193 cited
  • 1999On linear, degenerate backward stochastic partial differential equations107 cited
  • 1997Adapted solution of a degenerate backward spde, with applications90 cited
  • 1998Backward stochastic differential equations with subdifferential operator and related variational inequalities81 cited

Cited by

  • 2006On backward stochastic evolution equations in Hilbert spaces and optimal control50 cited
  • 2009Optimal Stopping Problem for Stochastic Differential Equations with Random Coefficients23 cited

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