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General mean-field BSDEs with continuous coefficients
16 references·0 citing·32 second hop
General mean-field BSDEs with continuous coefficients (2018)General mean-field BSDEs with continuous …Mean-field stochastic differential equations and associated PDEs (2017)Mean-field stochastic differe…Mean-field forward and backward SDEs with jumps and associated nonlocal quasi-linear integral-PDEs (2017)Mean-field forward and backwa…Weak Solutions of Mean-Field Stochastic Differential Equations and Application to Zero-Sum Stochastic Differential Games (2016)Weak Solutions of Mean-Field …Stochastic Differential Equations, Backward SDEs, Partial Differential Equations (2014)Stochastic Differential Equat…Mean-field backward stochastic differential equations: A limit approach (2009)Mean-field backward stochasti…Mean-field backward stochastic differential equations and related partial differential equations (2009)Mean-field backward stochasti…Mean field games (2007)Mean field gamesThe Malliavin Calculus and Related Topics (2006)The Malliavin Calculus and Re…Comparison Theorems of Backward Doubly Stochastic Differential Equations and Applications (2005)Comparison Theorems of Backwa…Backward stochastic differential equations and quasilinear parabolic partial differential equations (2005)Backward stochastic different…Backward stochastic differential equations with continuous coefficient (1997)Backward stochastic different…Backward Stochastic Differential Equations in Finance (1997)Backward Stochastic Different…Backward doubly stochastic differential equations and systems of quasilinear SPDEs (1994)Backward doubly stochastic di…A Generalized dynamic programming principle and hamilton-jacobi-bellman equation (1992)A Generalized dynamic program…Probabilistic interpretation for systems of quasilinear parabolic partial differential equations (1991)Probabilistic interpretation …Adapted solution of a backward stochastic differential equation (1990)Adapted solution of a backwar…Stochastic Differential Equations and Diffusion Processes (1983)Brownian Motion and Stochastic Calculus (2007)A Maximum Principle for SDEs of Mean-Field Type (2010)A General Stochastic Maximum Principle for SDEs of Mean-field Type (2011)Linear-Quadratic Optimal Control Problems for Mean-Field Stochastic Differential Equations (2013)Brownian Motion and Stochastic Calculus (1988)Solving forward-backward stochastic differential equations explicitly — a four step scheme (1994)Reflected solutions of backward SDE's, and related obstacle problems for PDE's (1997)Backward stochastic differential equations and partial differential equations with quadratic growth (2000)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Continuous Auctions and Insider Trading (1985)Mean Field Games and Applications (2010)Probabilistic Analysis of Mean-Field Games (2013)Income and Wealth Distribution in Macroeconomics: A Continuous-Time Approach (2021)Stochastic partial differential equations and filtering of diffusion processes (1980)Backwards SDE with random terminal time and applications to semilinear elliptic PDE (1997)Backward Stochastic Differential Equations and Viscosity Solutions of Systems of Semilinear Parabolic and Elliptic PDEs of Second Order (1998)Second‐order backward stochastic differential equations and fully nonlinear parabolic PDEs (2006)Theory of rational option pricing (2005)Partial Differential Equations (2010)A General Stochastic Maximum Principle for Optimal Control Problems (1990)Solution of forward-backward stochastic differential equations (1995)Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control (1999)Lp solutions of backward stochastic differential equations (2003)Applications of Malliavin calculus to Monte Carlo methods in finance (1999)Stochastic Calculus with Respect to Gaussian Processes (2001)Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations (2004)Nonlinear Expectations, Nonlinear Evaluations and Risk Measures (2004)Quadratic BSDEs with convex generators and unbounded terminal conditions (2007)Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework (2000)Forward–backward stochastic differential equations and controlled McKean–Vlasov dynamics (2015)
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References

  • 1990Adapted solution of a backward stochastic differential equation2,676 cited
  • 2007Mean field games2,638 cited
  • 2006The Malliavin Calculus and Related Topics2,470 cited
  • 1997Backward Stochastic Differential Equations in Finance2,339 cited
  • 2005Backward stochastic differential equations and quasilinear parabolic partial differential equations782 cited
  • 1991Probabilistic interpretation for systems of quasilinear parabolic partial differential equations518 cited
  • 1997Backward stochastic differential equations with continuous coefficient354 cited
  • 2009Mean-field backward stochastic differential equations and related partial differential equations342 cited
  • 1994Backward doubly stochastic differential equations and systems of quasilinear SPDEs337 cited
  • 2009Mean-field backward stochastic differential equations: A limit approach324 cited
  • 1992A Generalized dynamic programming principle and hamilton-jacobi-bellman equation296 cited
  • 2014Stochastic Differential Equations, Backward SDEs, Partial Differential Equations280 cited
  • 2017Mean-field stochastic differential equations and associated PDEs275 cited
  • 2005Comparison Theorems of Backward Doubly Stochastic Differential Equations and Applications89 cited

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2017
Mean-field forward and backward SDEs with jumps and associated nonlocal quasi-linear integral-PDEs
69 cited
  • 2016Weak Solutions of Mean-Field Stochastic Differential Equations and Application to Zero-Sum Stochastic Differential Games49 cited
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