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Stochastic Partial Differential Equations and Their Applications

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References

2005Backward stochastic differential equations and quasilinear parabolic partial differential equations782 cited

Cited by

1998Stability of BSDEs with Random Terminal Time and Homogenization of Semilinear Elliptic PDEs99 cited
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2002Global adapted solution of one-dimensional backward stochastic Riccati equations, with application to the mean–variance hedging84 cited
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2004Infinite horizon backward stochastic differential equations and elliptic equations in Hilbert spaces67 cited
2006Weak existence and uniqueness for forward–backward SDEs66 cited
2002Existence and Uniqueness of Solutions for BSDEs with Locally Lipschitz Coefficient58 cited
2008Discrete-time approximation for continuously and discretely reflected BSDEs57 cited
2013BSDEs with terminal conditions that have bounded Malliavin derivative46 cited
2008Stochastic PDIEs and backward doubly stochastic differential equations driven by Lévy processes45 cited
1995Constructing Gamma-Martingales with Prescribed Limit, Using Backwards SDE45 cited
2014

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Probabilistic interpretation for a system of quasilinear parabolic partial differential equation combined with algebra equations

37 cited

2014Numerical Fourier Method and Second-Order Taylor Scheme for Backward SDEs in Finance37 cited

2016Simulation of BSDEs with jumps by Wiener Chaos expansion35 cited

2008Stochastic PDIEs with nonlinear Neumann boundary conditions and generalized backward doubly stochastic differential equations driven by Lévy processes32 cited