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Backward Stochastic Differential Equations

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References

1990Adapted solution of a backward stochastic differential equation2,676 cited
1997Backward Stochastic Differential Equations in Finance2,339 cited
2005Backward stochastic differential equations and quasilinear parabolic partial differential equations811 cited
1997Backward stochastic differential equations and integral-partial differential equations538 cited
1994Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps526 cited
2004Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations518 cited
2004A numerical scheme for BSDEs371 cited
2003Lp solutions of backward stochastic differential equations371 cited
2006Backward stochastic differential equations with jumps and related non-linear expectations259 cited
1997Backwards SDE with random terminal time and applications to semilinear elliptic PDE193 cited
2014On viscosity solutions of path dependent PDEs181 cited
1997On solutions of backward stochastic differential equations with jumps and applications170 cited
2013Backward Stochastic Differential Equations with Jumps and Their Actuarial and Financial Applications160 cited
2004Optimal derivatives design under dynamic risk measures109 cited

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2013Backward Stochastic Differential Equations with Jumps and Their Actuarial and Financial Applications: BSDEs with Jumps87 cited

2006On the comparison theorem for multidimensional BSDEs67 cited

Cited by

2014Reflected BSDEs with nonpositive jumps, and controller-and-stopper games18 cited