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Backward stochastic variational inequalities on random interval
13 references·0 citing·36 second hop
Backward stochastic variational inequalities on random interval (2015)Backward stochastic variational inequalit…Stochastic Differential Equations, Backward SDEs, Partial Differential Equations (2014)Stochastic Differential Equat…Fractional Backward Stochastic Differential Equations and Fractional Backward Variational Inequalities (2013)Fractional Backward Stochasti…A stochastic approach to a multivalued Dirichlet–Neumann problem (2010)A stochastic approach to a mu…Backward stochastic differential equations and quasilinear parabolic partial differential equations (2005)Backward stochastic different…Lp solutions of backward stochastic differential equations (2003)Lp solutions of backward stoc…Nonlinear Kolmogorov equations in infinite dimensional spaces: the backward stochastic differential equations approach and applications to optimal control (2002)Nonlinear Kolmogorov equation…Backward stochastic variational inequalities (1999)Backward stochastic variation…Backward stochastic differential equations with subdifferential operator and related variational inequalities (1998)Backward stochastic different…Reflected solutions of backward SDE's, and related obstacle problems for PDE's (1997)Reflected solutions of backwa…Backwards SDE with random terminal time and applications to semilinear elliptic PDE (1997)Backwards SDE with random ter…Backward stochastic differential equations with reflection and Dynkin games (1996)Backward stochastic different…Adapted solution of a backward stochastic differential equation (1990)Adapted solution of a backwar…Existence for a class of stochastic parabolic variational inequalities (1981)Existence for a class of stoc…Brownian Motion and Stochastic Calculus (1988)Solving forward-backward stochastic differential equations explicitly — a four step scheme (1994)Backward stochastic differential equations and partial differential equations with quadratic growth (2000)Brownian Motion and Stochastic Calculus (2007)Stochastic Differential Utility (1992)Nonlinear Expectations, Nonlinear Evaluations and Risk Measures (2004)Second‐order backward stochastic differential equations and fully nonlinear parabolic PDEs (2006)ANTICIPATED BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS 1 (2012)Continuous Martingales and Brownian Motion (1991)Generalized BSDEs and nonlinear Neumann boundary value problems (1998)Continuous Martingales and Brownian Motion (1999)Reflected BSDE's with discontinuous barrier and application (2002)Reflected and doubly reflected BSDEs with jumps: A priori estimates and comparison (2008)Backward Stochastic Differential Equations in Finance (1997)Quadratic BSDEs with convex generators and unbounded terminal conditions (2007)Quadratic BSDEs with convex generators and unbounded terminal conditions (2008)Dynamic programming approach to principal–agent problems (2017)Backward Stochastic Differential Equations and Viscosity Solutions of Systems of Semilinear Parabolic and Elliptic PDEs of Second Order (1998)On backward stochastic evolution equations in Hilbert spaces and optimal control (2006)Optimal Stopping Problem for Stochastic Differential Equations with Random Coefficients (2009)Stochastic Differential Equations and Applications (1976)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)Controlled Markov Processes and Viscosity Solutions (2005)The Malliavin Calculus and Related Topics (2006)BSDEs with stochastic Lipschitz condition and quadratic PDEs in Hilbert spaces (2007)Backward Stochastic Differential Equation, Nonlinear Expectation and Their Applications (2011)The stochastic maximum principle for optimal control problems of delay systems involving continuous and impulse controls (2012)Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework (2000)Monotonic limit theorem of BSDE and nonlinear decomposition theorem of Doob–Meyers type (1999)Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations (2004)Stochastic Differential Equations (2014)Optimal investment–reinsurance strategy for mean–variance insurers with square-root factor process (2015)Backward Stochastic Differential Equations (2017)The Master Equation and the Convergence Problem in Mean Field Games (2019)
this work references cited by second hop

References

  • 1990Adapted solution of a backward stochastic differential equation2,676 cited
  • 2005Backward stochastic differential equations and quasilinear parabolic partial differential equations782 cited
  • 1997Reflected solutions of backward SDE's, and related obstacle problems for PDE's704 cited
  • 2003Lp solutions of backward stochastic differential equations367 cited
  • 1996Backward stochastic differential equations with reflection and Dynkin games321 cited
  • 2014Stochastic Differential Equations, Backward SDEs, Partial Differential Equations280 cited
  • 1997Backwards SDE with random terminal time and applications to semilinear elliptic PDE193 cited
  • 2002Nonlinear Kolmogorov equations in infinite dimensional spaces: the backward stochastic differential equations approach and applications to optimal control167 cited
  • 1998Backward stochastic differential equations with subdifferential operator and related variational inequalities81 cited
  • 1999Backward stochastic variational inequalities51 cited
  • 2013Fractional Backward Stochastic Differential Equations and Fractional Backward Variational Inequalities46 cited
  • 1981Existence for a class of stochastic parabolic variational inequalities36 cited
  • 2010A stochastic approach to a multivalued Dirichlet–Neumann problem22 cited

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