Solving forward-backward stochastic differential equations explicitly — a four step scheme

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-Forward Stochastic Differential Equations

Fabio Antonelli · The Annals of Applied Probability · 1993 · 345 citations · Full text

Engineering, Finance, Mathematics +12

Malliavin's calculus and stochastic integral representations of functional of diffusion processes^†

Daniel Ocone · Stochastics · 1984 · 155 citations

Engineering, Mathematics, Derivatives +13

A unified treatment of maximum principle and dynamic programming in stochastic controls

Zhou Yu · Stochastics and stochastics reports · 1991 · 79 citations

Natural Sciences, Mathematics, Differential Equations +16

On the integral representation of functionals of ltd processest

U. G. Haussmann · Stochastics · 1980 · 68 citations

Engineering, Mathematics, Differential Equations +16