A general converse comparison theorem for backward stochastic differential equations

Adapted solution of a backward stochastic differential equation

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

Engineering, Mathematics, Differential Equations +9

Backward Stochastic Differential Equations in Finance

Nicole El Karoui, Shigē Péng, M.C. Quenez · Mathematical Finance · 1997 · 2.4K citations

Engineering, Economics, Finance +10

A Generalized dynamic programming principle and hamilton-jacobi-bellman equation

Shigē Péng · Stochastics and stochastics reports · 1992 · 299 citations

Natural Sciences, Mathematics, Differential Equations +16

Filtration-consistent nonlinear expectations and related g-expectations

François Coquet, Ying Hu, Jean Mémin et al. · Probability Theory and Related Fields · 2002 · 265 citations · Full text

Engineering, Mathematics, Probability Theory +8

A Converse Comparison Theorem for BSDEs and Related Properties of g-Expectation

Philippe Briand, François Coquet, Ying Hu et al. · Electronic Communications in Probability · 2000 · 170 citations · Full text

Engineering, Mathematics, Decision Theory +6