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Generalized backward doubly stochastic differential equations and SPDEs with nonlinear Neumann boundary conditions
6 references·2 citing·31 second hop
Generalized backward doubly stochastic differential equations and SPDEs with nonlinear Neumann boundary conditions (2007)Generalized backward doubly stochastic di…Stochastic viscosity solutions for nonlinear stochastic partial differential equations. Part I (2001)Stochastic viscosity solution…Generalized BSDEs and nonlinear Neumann boundary value problems (1998)Generalized BSDEs and nonline…Backward doubly stochastic differential equations and systems of quasilinear SPDEs (1994)Backward doubly stochastic di…Stochastic Integration and Differential Equations (1990)Stochastic Integration and Di…Adapted solution of a backward stochastic differential equation (1990)Adapted solution of a backwar…Stochastic differential equations with reflecting boundary conditions (1984)Stochastic differential equat…Backward doubly stochastic Volterra integral equations and their applications (2020)Backward doubly stochastic Vo…Stochastic PDIEs with nonlinear Neumann boundary conditions and generalized backward doubly stochastic differential equations driven by Lévy processes (2008)Stochastic PDIEs with nonline…Probabilistic interpretation for systems of quasilinear parabolic partial differential equations (1991)Backward stochastic differential equations and integral-partial differential equations (1997)BSDEs with polynomial growth generators (1999)On the robustness of backward stochastic differential equations (2002)Backward Stochastic Differential Equations (2014)On the uniqueness of solutions of stochastic differential equations (1971)MULTI-DIMENSIONAL DIFFUSION PROCESSES (1980)Stochastic Differential Equations and Diffusion Processes (1983)On lipschitz continuity of the solution mapping to the skorokhod problem, with applications (1991)Optimal Investment and Consumption with Transaction Costs (1994)Stochastic Differential Equations (2014)Stochastic Flows and Stochastic Differential Equations (1998)Stochastic viscosity solutions for nonlinear stochastic partial differential equations. Part II (2001)Controlled Markov Processes and Viscosity Solutions (2005)Generalized backward doubly stochastic differential equations and SPDEs with nonlinear Neumann boundary conditions (2006)Brownian Motion and Stochastic Calculus (2007)A (rough) pathwise approach to a class of non-linear stochastic partial differential equations (2010)Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps (1994)Stochastic partial differential equations and filtering of diffusion processes (1980)Backwards SDE with random terminal time and applications to semilinear elliptic PDE (1997)Backward Stochastic Differential Equations and Viscosity Solutions of Systems of Semilinear Parabolic and Elliptic PDEs of Second Order (1998)Backward stochastic differential equations and quasilinear parabolic partial differential equations (2005)Second‐order backward stochastic differential equations and fully nonlinear parabolic PDEs (2006)Backward Stochastic Differential Equations in Finance (1997)Coherent Measures of Risk (1999)Extended backward stochastic Volterra integral equations and their applications to time-Inconsistent stochastic recursive control problems (2020)A unified approach to well-posedness of type-I backward stochastic Volterra integral equations (2021)Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework (2000)Arbitrage Theory in Continuous Time (1998)Term Structures of Credit Spreads with Incomplete Accounting Information (2001)Over-the-Counter Markets (2004)
this work references cited by second hop

References

  • 1990Adapted solution of a backward stochastic differential equation2,676 cited
  • 1990Stochastic Integration and Differential Equations1,195 cited
  • 1984Stochastic differential equations with reflecting boundary conditions817 cited
  • 1994Backward doubly stochastic differential equations and systems of quasilinear SPDEs337 cited
  • 1998Generalized BSDEs and nonlinear Neumann boundary value problems158 cited
  • 2001Stochastic viscosity solutions for nonlinear stochastic partial differential equations. Part I107 cited

Cited by

  • 2008Stochastic PDIEs with nonlinear Neumann boundary conditions and generalized backward doubly stochastic differential equations driven by Lévy processes32 cited
  • 2020Backward doubly stochastic Volterra integral equations and their applications30 cited

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