Stochastic Processes and their Applications · 2006 · 137 citations · 19 references
EngineeringElectrical EngineeringMathematicsDifferential EquationsProbability TheoryStochastic ProcessesBrownian MotionDiffusion ProcessesIntegral EquationsMarkov ProcessesStochastic CalculusStochastic Differential EquationsBackward Stochastic Differential EquationsStochastic IntegralsVolterra EquationsVolterra Integral EquationsVolterra Theory
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Backward Stochastic Differential Equations in Finance
Nicole El Karoui, Shigē Péng, M.C. Quenez · Mathematical Finance · 1997 · 2.4K citations
Engineering, Economics, Finance +10
Stochastic Differential Utility
Darrell Duffie, Larry G. Epstein · Econometrica · 1992 · 1.2K citations