Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations

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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.

Richard L. Dykstra, Ioannis Karatzas, Steven E. Schreve · Journal of the American Statistical Association · 1989 · 969 citations

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

Jin Ma, Philip Protter, Jiongmin Yong · Probability Theory and Related Fields · 1994 · 755 citations · Full text

Engineering, Mathematics, Physics +12

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

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