On Weak Solutions of Backward Stochastic Differential Equations

By Rainer Buckdahn, H. Engelbert, A. Rùascanu. 2005

51 citations recorded by the source corpus.

Subfields: Computational Theory and Mathematics, Control and Systems Engineering, Finance

View Paper: https://www.semanticscholar.org/paper/0c3c2ce9b17c35b56762d9389109a35b2e445d00

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Computational Theory and Mathematics

1. Thomas G. Kurtz
2. Fabio Antonelli
3. Jin Ma
4. Martin Hairer
5. Michael Röckner
6. Zdzisław Brzeźniak
7. Andrew M. Stuart
8. J. V. Neerven

In Control and Systems Engineering

1. Thomas G. Kurtz
2. Jin Ma
3. Mathias Beiglbock
4. Daniel Bartl
5. Edwin A. Perkins
6. L. Mytnik

In Finance

1. Thomas G. Kurtz
2. Fabio Antonelli
3. Jin Ma
4. Michael Röckner
5. Martin Hairer
6. Daniel Bartl
7. Mathias Beiglbock
8. Zdzisław Brzeźniak

Citations in the corpus

• Weak Solutions of Forward–Backward SDE's (2003, background): “For example, we note that the strong solution defined in [7] is actually semi-strong under our definition.”
• The Yamada-Watanabe-Engelbert theorem for general stochastic equations and inequalities (2007, background): “Buckdahn, Engelbert, and Răşcanu (5) state an equivalent condition in terms of martingales.”
• Weak and strong solutions of general stochastic models (2013, methodology): “Convergence in the Jakubowski topology implies convergence in measure, that is convergence in the metric dm(x, y) = ∫ T 0 |x(s)− y(s)| ∧ 1ds which is used in the original paper, Meyer and Zheng (1984), and in Buckdahn et al. (2005). Relative compactness of {Zn} in DJ Rm [0, T ] implies relative comp”