Reflected backward stochastic differential equation with jumps and RCLL obstacle

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

Reflected solutions of backward SDE's, and related obstacle problems for PDE's

Nicole El Karoui, C. Kapoudjian, Étienne Pardoux et al. · The Annals of Probability · 1997 · 726 citations

Engineering, Mathematics, Probability Theory +16

Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps

Shanjian Tang, Xunjing Li · SIAM Journal on Control and Optimization · 1994 · 543 citations

Natural Sciences, Mathematics, Dynamical Systems +16

Monotonic limit theorem of BSDE and nonlinear decomposition theorem of Doob–Meyers type

Shigē Péng · Probability Theory and Related Fields · 1999 · 361 citations · Full text

Natural Sciences, Mathematics, Dynamical Systems +5