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Quadratic Reflected BSDEs with Unbounded Obstacles
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Quadratic Reflected BSDEs with Unbounded Obstacles (2016)Quadratic Reflected BSDEs with Unbounded …Quadratic BSDEs with convex generators and unbounded terminal conditions (2008)Quadratic BSDEs with convex g…Quadratic BSDEs with convex generators and unbounded terminal conditions (2007)Quadratic BSDEs with convex g…Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…BSDE with quadratic growth and unbounded terminal value (2006)BSDE with quadratic growth an…Backward stochastic differential equations and quasilinear parabolic partial differential equations (2005)Backward stochastic different…Nonlinear Expectations, Nonlinear Evaluations and Risk Measures (2004)Nonlinear Expectations, Nonli…Backward stochastic differential equations and partial differential equations with quadratic growth (2000)Backward stochastic different…Existence for BSDE with superlinear–quadratic coefficient (1998)Existence for BSDE with super…Reflected solutions of backward SDE's, and related obstacle problems for PDE's (1997)Reflected solutions of backwa…Backward stochastic differential equations with continuous coefficient (1997)Backward stochastic different…Backward Stochastic Differential Equations in Finance (1997)Backward Stochastic Different…Stochastic Partial Differential Equations and Their Applications (1992)Stochastic Partial Differenti…Brownian motion and stochastic calculus (1991)Brownian motion and stochasti…Stochastic Calculus and Applications. (1986)Stochastic Calculus and Appli…STOCHASTIC CALCULUS AND APPLICATIONS (1983)STOCHASTIC CALCULUS AND APPLI…Existence of Optimal Strategies Based on Specified Information, for a Class of Stochastic Decision Problems (1970)Existence of Optimal Strategi…Adapted solution of a backward stochastic differential equation (1990)Brownian Motion and Stochastic Calculus (1988)Solving forward-backward stochastic differential equations explicitly — a four step scheme (1994)Utility maximization in incomplete markets (2005)On well-posedness of forward–backward SDEs—A unified approach (2015)Continuous Martingales and Brownian Motion (1999)Monotonic limit theorem of BSDE and nonlinear decomposition theorem of Doob–Meyers type (1999)Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations (2004)Stochastic Differential Equations (2014)The Pricing of Options and Corporate Liabilities (1973)Theory of rational option pricing (2005)Partial Differential Equations (2010)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach (2002)A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Controlled Markov Processes and Viscosity Solutions (2005)Backward Stochastic Differential Equations and Viscosity Solutions of Systems of Semilinear Parabolic and Elliptic PDEs of Second Order (1998)Pricing foreign currency options under stochastic interest rates (1991)Backward stochastic differential equations with jumps and related non-linear expectations (2006)Robust control and model misspecification (2006)A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios (1986)General Equilibrium Pricing of Options on the Market Portfolio with Discontinuous Returns (1990)Pricing the risks of default (1998)
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130 cited
  • 1992Stochastic Partial Differential Equations and Their Applications126 cited
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