Jensen’s inequality for g-convex function under g-expectation

User’s guide to viscosity solutions of second order partial differential equations

Michael G. Crandall, Hitoshi Ishii, Pierre-Louis Lions · Bulletin of the American Mathematical Society · 1992 · 5K citations · Full text

Natural Sciences, Mathematics, Computational Fluid Dynamics +16

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

Stochastic Differential Utility

Darrell Duffie, Larry G. Epstein · Econometrica · 1992 · 1.2K citations

Business, Economics, Finance +17

Ambiguity, Risk, and Asset Returns in Continuous Time

Zengjing Chen, Larry G. Epstein · Econometrica · 2002 · 1.1K citations · Full text

Business, Economics, Finance +14