Adapted solutions of backward stochastic differential equations with non-Lipschitz coefficients

Adapted solution of a backward stochastic differential equation

Étienne Pardoux, Shigē Péng · Systems & Control Letters · 1990 · 2.8K citations

Engineering, Mathematics, Differential Equations +9

A generalization of a lemma of bellman and its application to uniqueness problems of differential equations

I. Bihari · Acta Mathematica Academiae Scientiarum Hungaricae · 1956 · 586 citations

Natural Sciences, Mathematics, Differential Equations +12

Probabilistic interpretation for systems of quasilinear parabolic partial differential equations

Stochastics and stochastics reports · 1991 · 522 citations

Natural Sciences, Mathematics, Probability Theory +16

Necessary Conditions for Continuous Parameter Stochastic Optimization Problems

Harold J. Kushner · SIAM Journal on Control · 1972 · 327 citations · Full text

Natural Sciences, Mathematics, Dynamical Systems +13

Lectures in stochastic control

Jerzy Zabczyk · OpenGrey (Institut de l'Information Scientifique et Technique) · 1983 · 174 citations

Engineering, Mathematics, Dynamical Systems +11