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Existence for BSDE with superlinear–quadratic coefficient
2 references·16 citing·40 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 with continuous coefficient354 cited

Cited by

  • 2009CASH SUBADDITIVE RISK MEASURES AND INTEREST RATE AMBIGUITY144 cited
  • 2013Monotone stability of quadratic semimartingales with applications to unbounded general quadratic BSDEs122 cited
  • 2005Constrained Stochastic LQ Control with Random Coefficients, and Application to Portfolio Selection111 cited
  • 2007BSDEs with stochastic Lipschitz condition and quadratic PDEs in Hilbert spaces94 cited
  • 2002Global adapted solution of one-dimensional backward stochastic Riccati equations, with application to the mean–variance hedging84 cited
  • 1999BSDEs with polynomial growth generators80 cited
  • 2017Stochastic optimal control via forward and backward stochastic differential equations and importance sampling65 cited
  • 2012Insider Trading, Stochastic Liquidity and Equilibrium Prices65 cited
  • 2016Numerical simulation of quadratic BSDEs58 cited
  • 2002Existence and Uniqueness of Solutions for BSDEs with Locally Lipschitz Coefficient58 cited
  • 2012Markovian quadratic and superquadratic BSDEs with an unbounded terminal condition57 cited
  • 2005Backward stochastic differential equations with two reflecting barriers and continuous with quadratic growth coefficient

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51 cited
  • 2001Backward stochastic differential equations with locally Lipschitz coefficient51 cited
  • 2005On the Backward Stochastic Riccati Equation in Infinite Dimensions48 cited
  • 2006Dynamic Portfolio Choice and Risk Aversion47 cited
  • 2013BSDEs with terminal conditions that have bounded Malliavin derivative46 cited