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W m , p -solution ( p ⩾ 2 ) of linear degenerate backward stochastic partial differential equations in the whole space
15 references·2 citing·36 second hop
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References

  • 1990Adapted solution of a backward stochastic differential equation2,676 cited
  • 1997Backward Stochastic Differential Equations in Finance2,339 cited
  • 2003Lp solutions of backward stochastic differential equations367 cited
  • 1992Stochastic Hamilton–Jacobi–Bellman Equations307 cited
  • 1983Maximum principle and dynamic programming approaches of the optimal control of partially observed diffusions177 cited
  • 1991Adapted solution of a backward semilinear stochastic evolution equation172 cited
  • 1998The Maximum Principle for Partially Observed Optimal Control of Stochastic Differential Equations169 cited
  • 1993On the Necessary Conditions of Optimal Controls for Stochastic Partial Differential Equations121 cited
  • 1999On linear, degenerate backward stochastic partial differential equations107 cited
  • 2013Stochastic Maximum Principle for Optimal Control of SPDEs93 cited
  • 1997Adapted solution of a degenerate backward spde, with applications90 cited
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  • 2002On semi-linear degenerate backward stochastic partial differential equations71 cited
  • 1996Existence, uniqueness and space regularity of the adapted solutions of a backward spde66 cited

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1987
The Maximum Principle for Optimal Control of Diffusions with Partial Information
56 cited

Cited by

  • 2011L p Theory for Super-Parabolic Backward Stochastic Partial Differential Equations in the Whole Space38 cited
  • 2019Stochastic nonlinear Fokker–Planck equations37 cited