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Multi-dimensional BSDEs driven by G-Brownian motion and related system of fully nonlinear PDEs
16 references·0 citing·27 second hopsampled
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References

  • 1990Adapted solution of a backward stochastic differential equation2,676 cited
  • 1997Backward Stochastic Differential Equations in Finance2,339 cited
  • 2005Backward stochastic differential equations and quasilinear parabolic partial differential equations811 cited
  • 2019Nonlinear Expectations and Stochastic Calculus under Uncertainty629 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
  • 1997Backward stochastic differential equations and integral-partial differential equations538 cited
  • 1991Probabilistic interpretation for systems of quasilinear parabolic partial differential equations518 cited
  • 1993Backward stochastic differential equations and applications to optimal control401 cited
  • 2010Nonlinear Expectations and Stochastic Calculus under Uncertainty319 cited
  • 2011Wellposedness of second order backward SDEs294 cited
  • 2002Filtration-consistent nonlinear expectations and related g-expectations256 cited
  • 2008Stochastic Differential Games and Viscosity Solutions of Hamilton–Jacobi–Bellman–Isaacs Equations

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200 cited
  • 2009On representation theorem of G-expectations and paths of G-Brownian motion179 cited
  • 2007Stochastic Differential Games and Viscosity Solutions of Hamilton-Jacobi-Bellman-Isaacs Equations166 cited
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