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On Weak Convergence of Filtrations
3 references·7 citing·34 second hop
On Weak Convergence of Filtrations (2001)On Weak Convergence of FiltrationsBackward-Forward Stochastic Differential Equations (1993)Backward-Forward Stochastic D…Stopping Times and Tightness. II (1989)Stopping Times and Tightness.…Stability of strong solutions of stochastic differential equations (1989)Stability of strong solutions…Numerical methods for backward stochastic differential equations: A survey (2023)Numerical methods for backwar…Estimating processes in adapted Wasserstein distance (2022)Estimating processes in adapt…BS$\Delta$Es and BSDEs with non-Lipschitz drivers: Comparison, convergence and robustness (2013)BS$\Delta$Es and BSDEs with n…Extending dynamic convex risk measures from discrete time to continuous time: A convergence approach (2010)Extending dynamic convex risk…Weak approximations for Wiener functionals (2009)Weak approximations for Wiene…Finite approximation schemes for Lévy processes, and their application to optimal stopping problems (2007)Finite approximation schemes …Convergence of values in optimal stopping and convergence of optimal stopping times (2007)Convergence of values in opti…Changes of filtrations and of probability measures (1978)Les Aspects Probabilistes Du Controle Stochastique (1981)Option pricing: A simplified approach (1979)Martingales and stochastic integrals in the theory of continuous trading (1981)Lévy Processes and Stochastic Calculus (2004)Adapted solution of a backward stochastic differential equation (1990)Backward Stochastic Differential Equations in Finance (1997)Backward stochastic differential equations and partial differential equations with quadratic growth (2000)A general comparison theorem for backward stochastic differential equations (2010)A PRIMAL–DUAL ALGORITHM FOR BSDES (2015)Dynamic Conic Finance via Backward Stochastic Difference Equations (2015)Calcul Stochastique et Problèmes de Martingales (1979)MULTI-DIMENSIONAL DIFFUSION PROCESSES (1980)Stochastic Differential Equations and Diffusion Processes (1983)Stock price fluctuation as a diffusion in a random environment (1994)Penalization methods for reflecting stochastic differential equations with jumps (2003)Stochastic Differential Utility (1992)Forward-backward stochastic differential equations and quasilinear parabolic PDEs (1999)Optimal Consumption and Portfolio Selection with Stochastic Differential Utility (1999)Nonlinear Expectations, Nonlinear Evaluations and Risk Measures (2004)Brownian Motion and Stochastic Calculus (2007)Coherent Measures of Risk (1999)TENOR SPECIFIC PRICING (2011)FAIR VALUATION OF INSURANCE LIABILITY CASH-FLOW STREAMS IN CONTINUOUS TIME: APPLICATIONS (2018)Fair valuation of insurance liability cash-flow streams in continuous time: Theory (2019)Discrete-Time Approximations of the Holmstrom-Milgrom Brownian-Motion Model of Intertemporal Incentive Provision (2002)A Distance For Multistage Stochastic Optimization Models (2012)Multistage Stochastic Optimization (2014)Point Processes and Queues (1981)Applications of Malliavin calculus to Monte Carlo methods in finance (1999)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Central limit theorems for local martingales (1980)As Others See Us: A Case Study in Path Analysis (1987)A scheme for simulating one-dimensional diffusion processes with discontinuous coefficients (2006)
this work references cited by second hop

References

  • 1989Stopping Times and Tightness. II347 cited
  • 1993Backward-Forward Stochastic Differential Equations345 cited
  • 1989Stability of strong solutions of stochastic differential equations60 cited

Cited by

  • 2010Extending dynamic convex risk measures from discrete time to continuous time: A convergence approach52 cited
  • 2013BS$\Delta$Es and BSDEs with non-Lipschitz drivers: Comparison, convergence and robustness39 cited
  • 2023Numerical methods for backward stochastic differential equations: A survey32 cited
  • 2007Convergence of values in optimal stopping and convergence of optimal stopping times32 cited
  • 2022Estimating processes in adapted Wasserstein distance30 cited
  • 2009Weak approximations for Wiener functionals26 cited
  • 2007Finite approximation schemes for Lévy processes, and their application to optimal stopping problems25 cited

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