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L p -solution of reflected generalized BSDEs with non-Lipschitz coefficients
12 references·0 citing·31 second hopsampled
L p -solution of reflected generalized BSDEs with non-Lipschitz coefficients (2009)L p -solution of reflected generalized BS…Generalized Reflected BSDE and an Obstacle Problem for PDEs with a Nonlinear Neumann Boundary Condition (2006)Generalized Reflected BSDE an…Lp solutions of backward stochastic differential equations (2003)Lp solutions of backward stoc…Reflected BSDE's with discontinuous barrier and application (2002)Reflected BSDE's with discont…BSDEs with polynomial growth generators (1999)BSDEs with polynomial growth …Generalized BSDEs and nonlinear Neumann boundary value problems (1998)Generalized BSDEs and nonline…Reflected solutions of backward stochastic differential equations with continuous coefficient (1997)Reflected solutions of backwa…Reflected solutions of backward SDE's, and related obstacle problems for PDE's (1997)Reflected solutions of backwa…Backward stochastic differential equations with continuous coefficient (1997)Backward stochastic different…Backward Stochastic Differential Equations in Finance (1997)Backward Stochastic Different…Zero-sum stochastic differential games and backward equations (1995)Zero-sum stochastic different…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…Stochastic differential equations with reflecting boundary conditions (1984)Backward stochastic differential equations and integral-partial differential equations (1997)On the robustness of backward stochastic differential equations (2002)Stochastic Differential Equations (2014)Continuous Martingales and Brownian Motion (1999)Quadratic BSDEs with convex generators and unbounded terminal conditions (2007)Quadratic BSDEs with convex generators and unbounded terminal conditions (2008)On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures (1960)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)Brownian Motion and Stochastic Calculus (2007)A Finite Horizon Optimal Multiple Switching Problem (2009)Backward Stochastic Differential Equation, Nonlinear Expectation and Their Applications (2011)Viscosity solutions of fully nonlinear parabolic path dependent PDEs: Part I (2016)A Generalized dynamic programming principle and hamilton-jacobi-bellman equation (1992)Backward stochastic differential equations and partial differential equations with quadratic growth (2000)Nonlinear Expectations, Nonlinear Evaluations and Risk Measures (2004)Brownian Motion and Stochastic Calculus. (1989)Log-Periodogram Regression of Time Series with Long Range Dependence (1995)Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework (2000)Stochastic Integration and Differential Equations : A New Approach (2014)Backward stochastic differential equations and quasilinear parabolic partial differential equations (2005)Reflected backward stochastic differential equations under monotonicity and general increasing growth conditions (2005)Optimal consumption and investment with Epstein–Zin recursive utility (2016)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)Nonlinear Expectations and Stochastic Calculus under Uncertainty (2019)Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations (2004)
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References

  • 1990Adapted solution of a backward stochastic differential equation2,676 cited
  • 1997Backward Stochastic Differential Equations in Finance2,339 cited
  • 1997Reflected solutions of backward SDE's, and related obstacle problems for PDE's704 cited
  • 1991Probabilistic interpretation for systems of quasilinear parabolic partial differential equations518 cited
  • 2003Lp solutions of backward stochastic differential equations371 cited
  • 1997Backward stochastic differential equations with continuous coefficient354 cited
  • 1995Zero-sum stochastic differential games and backward equations235 cited
  • 1998Generalized BSDEs and nonlinear Neumann boundary value problems158 cited
  • 2002Reflected BSDE's with discontinuous barrier and application137 cited
  • 1999BSDEs with polynomial growth generators80 cited
  • 1997Reflected solutions of backward stochastic differential equations with continuous coefficient64 cited
  • 2006Generalized Reflected BSDE and an Obstacle Problem for PDEs with a Nonlinear Neumann Boundary Condition49 cited

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