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Backward Stochastic Differential Equations Driven by G-Brownian Motion with Double Reflections
16 references·0 citing·27 second hopsampled
Backward Stochastic Differential Equations Driven by G-Brownian Motion with Double Reflections (2020)Backward Stochastic Differential Equation…Nonlinear Expectations and Stochastic Calculus under Uncertainty (2019)Nonlinear Expectations and St…Comparison theorem, Feynman–Kac formula and Girsanov transformation for BSDEs driven by G -Brownian motion (2013)Comparison theorem, Feynman–K…Backward stochastic differential equations driven by G -Brownian motion (2013)Backward stochastic different…Wellposedness of second order backward SDEs (2011)Wellposedness of second order…Some properties on G-evaluation and its applications to G-martingale decomposition (2011)Some properties on G-evaluati…Function Spaces and Capacity Related to a Sublinear Expectation: Application to G-Brownian Motion Paths (2010)Function Spaces and Capacity …Multi-dimensional G-Brownian motion and related stochastic calculus under G-expectation (2008)Multi-dimensional G-Brownian …G-Expectation, G-Brownian Motion and Related Stochastic Calculus of Itô Type (2007)G-Expectation, G-Brownian Mot…A theoretical framework for the pricing of contingent claims in the presence of model uncertainty (2006)A theoretical framework for t…The smallest g-supermartingale and reflected BSDE with single and double L2L2 obstacles (2005)The smallest g-supermartingal…Backward stochastic differential equations and quasilinear parabolic partial differential equations (2005)Backward stochastic different…Reflected BSDEs and mixed game problem (2000)Reflected BSDEs and mixed gam…Reflected solutions of backward SDE's, and related obstacle problems for PDE's (1997)Reflected solutions of backwa…Backward Stochastic Differential Equations in Finance (1997)Backward Stochastic Different…Backward stochastic differential equations with reflection and Dynkin games (1996)Backward stochastic different…Adapted solution of a backward stochastic differential equation (1990)Adapted solution of a backwar…Coherent Measures of Risk (1999)Convex measures of risk and trading constraints (2002)Quadratic BSDEs with convex generators and unbounded terminal conditions (2007)Nonlinear Expectations and Stochastic Calculus under Uncertainty (2010)Brownian Motion and Stochastic Calculus (1988)Solving forward-backward stochastic differential equations explicitly — a four step scheme (1994)Backward stochastic differential equations and partial differential equations with quadratic growth (2000)Brownian Motion and Stochastic Calculus (2007)Limit Theorems for Stochastic Processes (2003)Stochastic Differential Utility (1992)Nonlinear Expectations, Nonlinear Evaluations and Risk Measures (2004)Second‐order backward stochastic differential equations and fully nonlinear parabolic PDEs (2006)ANTICIPATED BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS 1 (2012)Continuous Martingales and Brownian Motion (1999)Brownian Motion and Stochastic Calculus. (1989)Log-Periodogram Regression of Time Series with Long Range Dependence (1995)Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework (2000)Stochastic Integration and Differential Equations : A New Approach (2014)The Pricing of Options and Corporate Liabilities (1973)Theory of rational option pricing (2005)Partial Differential Equations (2010)Stochastic Differential Equations (2003)Controlled Markov Processes and Viscosity Solutions (2005)Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations (2004)Stochastic Differential Equations (2014)Arbitrage and duality in nondominated discrete-time models (2015)Machine Learning Approximation Algorithms for High-Dimensional Fully Nonlinear Partial Differential Equations and Second-order Backward Stochastic Differential Equations (2019)
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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
  • 1997Reflected solutions of backward SDE's, and related obstacle problems for PDE's704 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
  • 2006A theoretical framework for the pricing of contingent claims in the presence of model uncertainty352 cited
  • 1996Backward stochastic differential equations with reflection and Dynkin games332 cited
  • 2011Wellposedness of second order backward SDEs294 cited
  • 2011Some properties on G-evaluation and its applications to G-martingale decomposition163 cited
  • 2013Comparison theorem, Feynman–Kac formula and Girsanov transformation for BSDEs driven by G -Brownian motion152 cited
  • 2013Backward stochastic differential equations driven by G -Brownian motion

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148 cited
  • 2000Reflected BSDEs and mixed game problem136 cited
  • 2005The smallest g-supermartingale and reflected BSDE with single and double L2L2 obstacles108 cited
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