SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Quadratic backward stochastic differential equations driven by G -Brownian motion: Discrete solutions and approximation
16 references·0 citing·26 second hop
Quadratic backward stochastic differential equations driven by G -Brownian motion: Discrete solutions and approximation (2018)Quadratic backward stochastic differentia…Wellposedness of second order backward SDEs (2011)Wellposedness of second order…Martingale representation theorem for the G -expectation (2010)Martingale representation the…Function Spaces and Capacity Related to a Sublinear Expectation: Application to G-Brownian Motion Paths (2010)Function Spaces and Capacity …Pathwise properties and homeomorphic flows for stochastic differential equations driven by G -Brownian motion (2009)Pathwise properties and homeo…Stochastic Differential Games and Viscosity Solutions of Hamilton–Jacobi–Bellman–Isaacs Equations (2008)Stochastic Differential Games…Quadratic BSDEs with convex generators and unbounded terminal conditions (2008)Quadratic BSDEs with convex g…Multi-dimensional G-Brownian motion and related stochastic calculus under G-expectation (2008)Multi-dimensional G-Brownian …Solvability of backward stochastic differential equations with quadratic growth (2007)Solvability of backward stoch…Quadratic BSDEs with convex generators and unbounded terminal conditions (2007)Quadratic BSDEs with convex g…G-Expectation, G-Brownian Motion and Related Stochastic Calculus of Itô Type (2007)G-Expectation, G-Brownian Mot…BSDE with quadratic growth and unbounded terminal value (2006)BSDE with quadratic growth an…Utility maximization in incomplete markets (2005)Utility maximization in incom…Backward stochastic differential equations and partial differential equations with quadratic growth (2000)Backward stochastic different…Monotonic limit theorem of BSDE and nonlinear decomposition theorem of Doob–Meyers type (1999)Monotonic limit theorem of BS…Continuous Exponential Martingales and BMO (1994)Continuous Exponential Martin…Adapted solution of a backward stochastic differential equation (1990)Adapted solution of a backwar…Backward Stochastic Differential Equations in Finance (1997)Nonlinear Expectations, Nonlinear Evaluations and Risk Measures (2004)Backward stochastic differential equations and quasilinear parabolic partial differential equations (2005)Coherent Measures of Risk (1999)Convex measures of risk and trading constraints (2002)Ambiguous Volatility and Asset Pricing in Continuous Time (2013)Optimum consumption and portfolio rules in a continuous-time model (1971)Inf-convolution of risk measures and optimal risk transfer (2005)Continuous Martingales and Brownian Motion (1999)Brownian Motion and Stochastic Calculus (2007)Survey on normal distributions, central limit theorem, Brownian motion and the related stochastic calculus under sublinear expectations (2009)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Filtration-consistent nonlinear expectations and related g-expectations (2002)Theory of rational option pricing (2005)Backward stochastic differential equations with jumps and related non-linear expectations (2006)Stochastic Differential Equations (2003)Controlled Markov Processes and Viscosity Solutions (2005)Machine Learning Approximation Algorithms for High-Dimensional Fully Nonlinear Partial Differential Equations and Second-order Backward Stochastic Differential Equations (2019)Nonlinear Expectations and Stochastic Calculus under Uncertainty (2019)MULTI-DIMENSIONAL DIFFUSION PROCESSES (1980)Martingale optimal transport and robust hedging in continuous time (2013)Exponential Hedging and Entropic Penalties (2002)Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging (2006)On well-posedness of forward–backward SDEs—A unified approach (2015)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
  • 2000Backward stochastic differential equations and partial differential equations with quadratic growth763 cited
  • 2007G-Expectation, G-Brownian Motion and Related Stochastic Calculus of Itô Type621 cited
  • 2010Function Spaces and Capacity Related to a Sublinear Expectation: Application to G-Brownian Motion Paths570 cited
  • 2008Multi-dimensional G-Brownian motion and related stochastic calculus under G-expectation556 cited
  • 2005Utility maximization in incomplete markets425 cited
  • 1994Continuous Exponential Martingales and BMO422 cited
  • 1999Monotonic limit theorem of BSDE and nonlinear decomposition theorem of Doob–Meyers type347 cited
  • 2006BSDE with quadratic growth and unbounded terminal value314 cited
  • 2011Wellposedness of second order backward SDEs289 cited
  • 2007Quadratic BSDEs with convex generators and unbounded terminal conditions223 cited
  • 2009Pathwise properties and homeomorphic flows for stochastic differential equations driven by G -Brownian motion206 cited
  • 2010Martingale representation theorem for the G -expectation201 cited
  • 2008Stochastic Differential Games and Viscosity Solutions of Hamilton–Jacobi–Bellman–Isaacs Equations200 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

  • 2007Solvability of backward stochastic differential equations with quadratic growth186 cited
  • 2008Quadratic BSDEs with convex generators and unbounded terminal conditions185 cited
  • Cited by

    No citing works inside the corpus for this window.