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Backward Stochastic Differential Equations and Applications
11 references·10 citing·41 second hop
Backward Stochastic Differential Equations and Applications (1995)Backward Stochastic Differential Equation…Backward stochastic differential equations and quasilinear parabolic partial differential equations (2005)Backward stochastic different…Black's Consol Rate Conjecture (1995)Black's Consol Rate ConjectureSolving forward-backward stochastic differential equations explicitly — a four step scheme (1994)Solving forward-backward stoc…Backward doubly stochastic differential equations and systems of quasilinear SPDEs (1994)Backward doubly stochastic di…Backward stochastic differential equations and applications to optimal control (1993)Backward stochastic different…Stochastic Differential Utility (1992)Stochastic Differential Utili…PDE solutions of stochastic differential utility (1992)PDE solutions of stochastic d…Asset Pricing with Stochastic Differential Utility (1992)Asset Pricing with Stochastic…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…Théorie probabiliste du contrôle des diffusions (1976)Théorie probabiliste du contr…Pricing and hedging in incomplete markets with model uncertainty (2019)Pricing and hedging in incomp…Adaptive importance sampling in least-squares Monte Carlo algorithms for backward stochastic differential equations (2016)Adaptive importance sampling …Second-order BSDEs with general reflection and game options under uncertainty (2014)Second-order BSDEs with gener…Second order backward stochastic differential equations with quadratic growth (2013)Second order backward stochas…Quadratic Semimartingale BSDEs Under an Exponential Moments Condition (2012)Quadratic Semimartingale BSDE…Maximum principle for optimal control problems of forward–backward regime-switching system and applications (2012)Maximum principle for optimal…Convertible Bonds in a Defaultable Diffusion Model (2011)Convertible Bonds in a Defaul…Extending dynamic convex risk measures from discrete time to continuous time: A convergence approach (2010)Extending dynamic convex risk…About the Pricing Equations in Finance (2010)About the Pricing Equations i…A BSDE approach to a risk-based optimal investment of an insurer (2010)A BSDE approach to a risk-bas…An Introductory Approach to Duality in Optimal Stochastic Control (1978)A General Stochastic Maximum Principle for Optimal Control Problems (1990)Backward-Forward Stochastic Differential Equations (1993)Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs. II (2000)Nonlinear Expectations, Nonlinear Evaluations and Risk Measures (2004)Brownian Motion and Stochastic Calculus (1988)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)Brownian Motion and Stochastic Calculus (2007)An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Consumption and Portfolio Decisions when Expected Returns are Time Varying (1999)Asset Pricing at the Millennium (2000)Robust Portfolio Rules and Asset Pricing (2004)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)A Theory of the Term Structure of Interest Rates (1985)An Equilibrium Model of Rare-Event Premia and Its Implication for Option Smirks (2004)Robust control and model misspecification (2006)Stock Returns and Volatility: Pricing the Short‐Run and Long‐Run Components of Market Risk (2008)Controlled Diffusion Processes (1980)Stochastic Integration and Differential Equations (1990)Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control (1999)Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations (2004)A regression-based Monte Carlo method to solve backward stochastic differential equations (2005)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)Stochastic Integration and Differential Equations (2005)Switching problem and related system of reflected backward SDEs (2010)Growth to value: Option exercise and the cross section of equity returns (2012)Uncertainty Shocks and Balance Sheet Recessions (2017)Stochastic Differential Equations and Diffusion Processes (1983)Solution of forward-backward stochastic differential equations (1995)Lp solutions of backward stochastic differential equations (2003)Sur un problème de dynkin (1977)Representation theorems for backward stochastic differential equations (2002)Well-posedness and regularity of backward stochastic Volterra integral equations (2007)Backward Stochastic Differential Equations in Finance (1997)Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework (2000)
this work references cited by second hop

References

  • 1990Adapted solution of a backward stochastic differential equation2,676 cited
  • 1992Stochastic Differential Utility1,165 cited
  • 2005Backward stochastic differential equations and quasilinear parabolic partial differential equations782 cited
  • 1994Solving forward-backward stochastic differential equations explicitly — a four step scheme740 cited
  • 1991Probabilistic interpretation for systems of quasilinear parabolic partial differential equations518 cited
  • 1992Asset Pricing with Stochastic Differential Utility486 cited
  • 1993Backward stochastic differential equations and applications to optimal control401 cited
  • 1994Backward doubly stochastic differential equations and systems of quasilinear SPDEs337 cited
  • 1976Théorie probabiliste du contrôle des diffusions138 cited
  • 1992PDE solutions of stochastic differential utility123 cited
  • 1995Black's Consol Rate Conjecture62 cited

Cited by

  • 2010Extending dynamic convex risk measures from discrete time to continuous time: A convergence approach52 cited
  • 2010About the Pricing Equations in Finance42 cited
  • 2010A BSDE approach to a risk-based optimal investment of an insurer42 cited
  • 2012

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Maximum principle for optimal control problems of forward–backward regime-switching system and applications
37 cited
  • 2013Second order backward stochastic differential equations with quadratic growth29 cited
  • 2019Pricing and hedging in incomplete markets with model uncertainty29 cited
  • 2011Convertible Bonds in a Defaultable Diffusion Model26 cited
  • 2012Quadratic Semimartingale BSDEs Under an Exponential Moments Condition26 cited
  • 2016Adaptive importance sampling in least-squares Monte Carlo algorithms for backward stochastic differential equations26 cited
  • 2014Second-order BSDEs with general reflection and game options under uncertainty25 cited