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Nonlinear Kolmogorov equations in infinite dimensional spaces: the backward stochastic differential equations approach and applications to optimal control
10 references·16 citing·31 second hop
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this work references cited by second hop

References

  • 2005Controlled Markov Processes and Viscosity Solutions2,698 cited
  • 1990Adapted solution of a backward stochastic differential equation2,676 cited
  • 2006The Malliavin Calculus and Related Topics2,470 cited
  • 1997Backward Stochastic Differential Equations in Finance2,339 cited
  • 1995The Malliavin Calculus and Related Topics1,545 cited
  • 2005Backward stochastic differential equations and quasilinear parabolic partial differential equations782 cited
  • 2007Forward-Backward Stochastic Differential Equations and their Applications675 cited
  • 1988Stochastic calculus with anticipating integrands496 cited
  • 1998Backward Stochastic Differential Equations and Viscosity Solutions of Systems of Semilinear Parabolic and Elliptic PDEs of Second Order213 cited
  • 1991Adapted solution of a backward semilinear stochastic evolution equation172 cited

Cited by

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  • 2005Stochastic Optimal Control of Delay Equations Arising in Advertising Models

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