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Backward SDEs with superquadratic growth
11 references·10 citing·29 second hop
Backward SDEs with superquadratic growth (2010)Backward SDEs with superquadratic growthRepresentation of the penalty term of dynamic concave utilities (2009)Representation of the penalty…Quadratic BSDEs with convex generators and unbounded terminal conditions (2008)Quadratic BSDEs with convex g…Quadratic BSDEs with convex generators and unbounded terminal conditions (2007)Quadratic BSDEs with convex g…Law invariant risk measures have the Fatou property (2007)Law invariant risk measures h…Second‐order backward stochastic differential equations and fully nonlinear parabolic PDEs (2006)Second‐order backward stochas…BSDE with quadratic growth and unbounded terminal value (2006)BSDE with quadratic growth an…Backward stochastic differential equations and quasilinear parabolic partial differential equations (2005)Backward stochastic different…Convex measures of risk and trading constraints (2002)Convex measures of risk and t…Backward stochastic differential equations and partial differential equations with quadratic growth (2000)Backward stochastic different…Backward Stochastic Differential Equations in Finance (1997)Backward Stochastic Different…Adapted solution of a backward stochastic differential equation (1990)Adapted solution of a backwar…Recursive Utility Processes, Dynamic Risk Measures and Quadratic Backward Stochastic Volterra Integral Equations (2019)Recursive Utility Processes, …Backward stochastic Volterra integral equations—Representation of adapted solutions (2019)Backward stochastic Volterra …Existence and uniqueness results for BSDE with jumps: the whole nine yards (2018)Existence and uniqueness resu…A class of globally solvable Markovian quadratic BSDE systems and applications (2018)A class of globally solvable …Minimal supersolutions of convex BSDEs (2013)Minimal supersolutions of con…BSDEs with terminal conditions that have bounded Malliavin derivative (2013)BSDEs with terminal condition…BS$\Delta$Es and BSDEs with non-Lipschitz drivers: Comparison, convergence and robustness (2013)BS$\Delta$Es and BSDEs with n…A simple constructive approach to quadratic BSDEs with or without delay (2013)A simple constructive approac…Markovian quadratic and superquadratic BSDEs with an unbounded terminal condition (2012)Markovian quadratic and super…Numerical simulation of BSDEs with drivers of quadratic growth (2011)Numerical simulation of BSDEs…Brownian Motion and Stochastic Calculus (1988)Solving forward-backward stochastic differential equations explicitly — a four step scheme (1994)Reflected solutions of backward SDE's, and related obstacle problems for PDE's (1997)Brownian Motion and Stochastic Calculus (2007)Utility maximization in incomplete markets (2005)On well-posedness of forward–backward SDEs—A unified approach (2015)Coherent Measures of Risk (1999)Putting order in risk measures (2002)Distributionally Robust Optimization and Its Tractable Approximations (2010)Distributionally Robust Convex Optimization (2014)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)Monte Carlo Methods in Financial Engineering (2003)Stochastic Differential Games and Viscosity Solutions of Hamilton–Jacobi–Bellman–Isaacs Equations (2008)Survey on normal distributions, central limit theorem, Brownian motion and the related stochastic calculus under sublinear expectations (2009)Martingale representation theorem for the G -expectation (2010)Continuous Martingales and Brownian Motion (1999)Coherent Risk Measures on General Probability Spaces (2002)Stochastic Finance (2004)OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS (2008)RISK MEASURES ON ORLICZ HEARTS (2009)What is the best risk measure in practice? A comparison of standard measures (2015)Nonlinear Expectations, Nonlinear Evaluations and Risk Measures (2004)Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework (2000)Monotone stability of quadratic semimartingales with applications to unbounded general quadratic BSDEs (2013)Multi-dimensional backward stochastic differential equations of diagonally quadratic generators (2015)Optimal investment–reinsurance strategy for mean–variance insurers with square-root factor process (2015)
this work references cited by second hop

References

  • 1990Adapted solution of a backward stochastic differential equation2,676 cited
  • 1997Backward Stochastic Differential Equations in Finance2,339 cited
  • 2002Convex measures of risk and trading constraints1,452 cited
  • 2005Backward stochastic differential equations and quasilinear parabolic partial differential equations782 cited
  • 2000Backward stochastic differential equations and partial differential equations with quadratic growth763 cited
  • 2006BSDE with quadratic growth and unbounded terminal value314 cited
  • 2007Law invariant risk measures have the Fatou property292 cited
  • 2006Second‐order backward stochastic differential equations and fully nonlinear parabolic PDEs239 cited
  • 2007Quadratic BSDEs with convex generators and unbounded terminal conditions223 cited
  • 2008Quadratic BSDEs with convex generators and unbounded terminal conditions185 cited
  • 2009Representation of the penalty term of dynamic concave utilities149 cited

Cited by

  • 2013A simple constructive approach to quadratic BSDEs with or without delay76 cited
  • 2018A class of globally solvable Markovian quadratic BSDE systems and applications74 cited
  • 2012Markovian quadratic and superquadratic BSDEs with an unbounded terminal condition57 cited

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  • 2013BSDEs with terminal conditions that have bounded Malliavin derivative46 cited
  • 2011Numerical simulation of BSDEs with drivers of quadratic growth46 cited
  • 2018Existence and uniqueness results for BSDE with jumps: the whole nine yards42 cited
  • 2019Backward stochastic Volterra integral equations—Representation of adapted solutions42 cited
  • 2013BS$\Delta$Es and BSDEs with non-Lipschitz drivers: Comparison, convergence and robustness39 cited
  • 2019Recursive Utility Processes, Dynamic Risk Measures and Quadratic Backward Stochastic Volterra Integral Equations38 cited
  • 2013Minimal supersolutions of convex BSDEs36 cited