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Ergodic BSDEs Driven by Markov Chains
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Ergodic BSDEs Driven by Markov Chains (2013)Ergodic BSDEs Driven by Markov ChainsExistence, uniqueness and comparisons for BSDEs in general spaces (2012)Existence, uniqueness and com…Ergodic BSDEs under weak dissipative assumptions (2010)Ergodic BSDEs under weak diss…Comparisons for backward stochastic differential equations on Markov chains and related no-arbitrage conditions (2010)Comparisons for backward stoc…A general comparison theorem for backward stochastic differential equations (2010)A general comparison theorem …Ergodic BSDEs and related PDEs with Neumann boundary conditions (2009)Ergodic BSDEs and related PDE…Ergodic BSDEs and Optimal Ergodic Control in Banach Spaces (2009)Ergodic BSDEs and Optimal Erg…Stochastic Differential Games and Viscosity Solutions of Hamilton–Jacobi–Bellman–Isaacs Equations (2008)Stochastic Differential Games…Solutions of backward stochastic differential equations on Markov chains (2008)Solutions of backward stochas…BSDE s with a random terminal time driven by a monotone generator and their links with PDE s (2004)BSDE s with a random terminal…Filtration-consistent nonlinear expectations and related g-expectations (2002)Filtration-consistent nonline…Stability of BSDEs with Random Terminal Time and Homogenization of Semilinear Elliptic PDEs (1998)Stability of BSDEs with Rando…Adapted solution of a backward stochastic differential equation (1990)Adapted solution of a backwar…Backward Stochastic Differential Equations in Finance (1997)Limit Theorems for Stochastic Processes (2003)Backward stochastic differential equation driven by a marked point process: An elementary approach with an application to optimal control (2016)Applications of Mean Field Games in financial engineering and economic theory (2021)Backward stochastic differential equations and integral-partial differential equations (1997)Two Person Zero-Sum Game in Weak Formulation and Path Dependent Bellman--Isaacs Equation (2014)Leader–follower stochastic differential game with asymmetric information and applications (2015)Portfolio Optimization with Ambiguous Correlation and Stochastic Volatilities (2016)Coherent Measures of Risk (1999)Discrete-time option pricing with stochastic liquidity (2016)Stochastic Differential Equations and Applications (1976)BSDEs with polynomial growth generators (1999)Backward stochastic differential equations and quasilinear parabolic partial differential equations (2005)Stochastic Differential Utility (1992)Ambiguity, Risk, and Asset Returns in Continuous Time (2002)NONLINEAR EXPECTATIONS AND NONLINEAR MARKOV CHAINS (2005)Optimal Stopping With Multiple Priors (2009)Survey on normal distributions, central limit theorem, Brownian motion and the related stochastic calculus under sublinear expectations (2009)Backward stochastic differential equations and applications to optimal control (1993)Nonlinear Kolmogorov equations in infinite dimensional spaces: the backward stochastic differential equations approach and applications to optimal control (2002)A Probabilistic Approach to Large Time Behavior of Mild Solutions of HJB Equations in Infinite Dimension (2015)Long time asymptotics for fully nonlinear Bellman equations: A backward SDE approach (2016)Representation of Homothetic Forward Performance Processes in Stochastic Factor Models via Ergodic and Infinite Horizon BSDE (2017)Continuous Martingales and Brownian Motion (1999)Coherent multiperiod risk adjusted values and Bellman’s principle (2006)Backward Stochastic Differential Equations and Optimal Control of Marked Point Processes (2013)Reflected BSDEs on filtered probability spaces (2015)Existence and uniqueness results for BSDE with jumps: the whole nine yards (2018)Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework (2000)Brownian Motion and Stochastic Calculus (2007)Stochastic controls : Hamiltonian systems and HJB equations (1999)Probabilistic interpretation for systems of quasilinear parabolic partial differential equations (1991)
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References

  • 1990Adapted solution of a backward stochastic differential equation2,676 cited
  • 2002Filtration-consistent nonlinear expectations and related g-expectations256 cited
  • 2008Stochastic Differential Games and Viscosity Solutions of Hamilton–Jacobi–Bellman–Isaacs Equations200 cited
  • 1998Stability of BSDEs with Random Terminal Time and Homogenization of Semilinear Elliptic PDEs99 cited
  • 2010Comparisons for backward stochastic differential equations on Markov chains and related no-arbitrage conditions82 cited
  • 2009Ergodic BSDEs and Optimal Ergodic Control in Banach Spaces67 cited
  • 2004BSDE s with a random terminal time driven by a monotone generator and their links with PDE s65 cited
  • 2008Solutions of backward stochastic differential equations on Markov chains65 cited
  • 2010Ergodic BSDEs under weak dissipative assumptions62 cited
  • 2012Existence, uniqueness and comparisons for BSDEs in general spaces54 cited
  • 2010A general comparison theorem for backward stochastic differential equations33 cited
  • 2009Ergodic BSDEs and related PDEs with Neumann boundary conditions30 cited

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