Optimal stopping under nonlinear 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

MULTI-DIMENSIONAL DIFFUSION PROCESSES

J. F. C. Kingmán · Bulletin of the London Mathematical Society · 1980 · 1.3K citations

Engineering, Business Economics, Stochastic Processes +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

Function Spaces and Capacity Related to a Sublinear Expectation: Application to G-Brownian Motion Paths

Laurent Denis, Mingshang Hu, Shigē Péng · Potential Analysis · 2010 · 590 citations

Engineering, Mathematics, Probability Theory +12