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Backward doubly stochastic differential equations with discontinuous coefficients
11 references·1 citing·35 second hop
Backward doubly stochastic differential equations with discontinuous coefficients (2008)Backward doubly stochastic differential e…Backward Stochastic Differential Equations (2013)Backward Stochastic Different…Comparison Theorems of Backward Doubly Stochastic Differential Equations and Applications (2005)Comparison Theorems of Backwa…Backward stochastic differential equations and quasilinear parabolic partial differential equations (2005)Backward stochastic different…A type of time-symmetric forward–backward stochastic differential equations (2003)A type of time-symmetric forw…Backward Stochastic Differential Equations in Finance (1997)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…Stochastic Partial Differential Equations and Their Applications (1992)Stochastic Partial Differenti…Probabilistic interpretation for systems of quasilinear parabolic partial differential equations (1991)Probabilistic interpretation …Adapted solution of a backward stochastic differential equation (1990)Adapted solution of a backwar…Backward doubly stochastic differential equations with stochastic Lipschitz condition (2014)Backward doubly stochastic di…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)Backward stochastic differential equations and partial differential equations with quadratic growth (2000)Brownian Motion and Stochastic Calculus (2007)On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures (1960)Reflected BSDEs and mixed game problem (2000)Reflected BSDE's with discontinuous barrier and application (2002)Mixed Zero-Sum Stochastic Differential Game and American Game Options (2006)Stochastic Differential Utility (1992)Stationary solutions of SPDEs and infinite horizon BDSDEs with non-Lipschitz coefficients (2010)General mean-field BSDEs with continuous coefficients (2018)Backward doubly stochastic Volterra integral equations and their applications (2020)Les Aspects Probabilistes Du Controle Stochastique (1981)Backward Stochastic Differential Equations and Viscosity Solutions of Systems of Semilinear Parabolic and Elliptic PDEs of Second Order (1998)BSDEs and risk-sensitive control, zero-sum and nonzero-sum game problems of stochastic functional differential equations (2003)Stochastic Differential Games and Viscosity Solutions of Hamilton–Jacobi–Bellman–Isaacs Equations (2008)Stochastic partial differential equations and filtering of diffusion processes (1980)Backwards SDE with random terminal time and applications to semilinear elliptic PDE (1997)Second‐order backward stochastic differential equations and fully nonlinear parabolic PDEs (2006)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)Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework (2000)Equations différentielles stochastiques rétrogrades réfléchies dans un convexe (1996)Stability of BSDEs with Random Terminal Time and Homogenization of Semilinear Elliptic PDEs (1998)Reflected backward stochastic differential equation with jumps and RCLL obstacle (2008)Non-linear pricing theory and backward stochastic differential equations (1997)Representation theorems for backward stochastic differential equations (2002)Quadratic BSDEs driven by a continuous martingale and applications to the utility maximization problem (2008)
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
  • 2005Backward stochastic differential equations and quasilinear parabolic partial differential equations782 cited
  • 1991Probabilistic interpretation for systems of quasilinear parabolic partial differential equations518 cited
  • 1994Backward doubly stochastic differential equations and systems of quasilinear SPDEs337 cited
  • 1995Zero-sum stochastic differential games and backward equations235 cited
  • 2013Backward Stochastic Differential Equations159 cited
  • 1995Backward equations, stochastic control and zero-sum stochastic differential games147 cited
  • 1992Stochastic Partial Differential Equations and Their Applications126 cited
  • 2005Comparison Theorems of Backward Doubly Stochastic Differential Equations and Applications89 cited
  • 2003A type of time-symmetric forward–backward stochastic differential equations61 cited

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  • 2014Backward doubly stochastic differential equations with stochastic Lipschitz condition23 cited

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