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Second order backward stochastic differential equations with quadratic growth
16 references·1 citing·28 second hop
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References

  • 1990Adapted solution of a backward stochastic differential equation2,676 cited
  • 1997Backward Stochastic Differential Equations in Finance2,339 cited
  • 1980MULTI-DIMENSIONAL DIFFUSION PROCESSES1,243 cited
  • 2005Backward stochastic differential equations and quasilinear parabolic partial differential equations782 cited
  • 2000Backward stochastic differential equations and partial differential equations with quadratic growth763 cited
  • 2019Nonlinear Expectations and Stochastic Calculus under Uncertainty594 cited
  • 2010Function Spaces and Capacity Related to a Sublinear Expectation: Application to G-Brownian Motion Paths570 cited
  • 2004Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations518 cited
  • 1994Continuous Exponential Martingales and BMO422 cited
  • 2003Lp solutions of backward stochastic differential equations367 cited
  • 1997Backward stochastic differential equations with continuous coefficient354 cited
  • 2006A theoretical framework for the pricing of contingent claims in the presence of model uncertainty352 cited
  • 2006BSDE with quadratic growth and unbounded terminal value314 cited
  • 1999Risk-Sensitive Dynamic Asset Management290 cited
  • 2011

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Wellposedness of second order backward SDEs
289 cited
  • 2006Second‐order backward stochastic differential equations and fully nonlinear parabolic PDEs239 cited
  • Cited by

    • 2018Quadratic backward stochastic differential equations driven by G -Brownian motion: Discrete solutions and approximation26 cited