Concepedia

Existence and uniqueness result for a backward stochastic differential equation whose generator is Lipschitz continuous in y and uniformly continuous in z

Sheng Fan, Long Jiang

Journal of Applied Mathematics and Computing · 2010 · 15 citations · 15 references

Concepts

EngineeringMathematicsDifferential EquationsStochastic ModelingStochastic ProcessesBrownian MotionContinuous-time Stochastic ProcessesDiffusion ProcessesExistence TheoryStochastic CalculusStochastic Differential EquationsBackward Stochastic Differential EquationsPathwise UniquenessStochastic Differential SystemsUniqueness TheoremsWeak Solutions

References

15

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

Brownian motion and stochastic calculus

Jan Seidler · Acta Applicandae Mathematicae · 1991 · 2.2K citations

Engineering, Mathematics, Physics +14

Backward stochastic differential equations and partial differential equations with quadratic growth

Magdalena Kobylanski · The Annals of Probability · 2000 · 805 citations · Full text

Engineering, Mathematics, Differential Equations +14

Lp solutions of backward stochastic differential equations

Philippe Briand, Bernard Delyon, Ying Hu et al. · Stochastic Processes and their Applications · 2003 · 394 citations

Engineering, Mathematics, Differential Equations +12