7 – Backward Stochastic Differential Equations

By X. Mao. 2011

121 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/14e7ff298346ae59423f8dc5f31ffd9862cd6fc1

Citations in the corpus

• A relatively short proof of Itô’s formula for SPDEs and its applications (2012, unknown): “It seems that the maximum principle for general second order SPDEs was first proved in [9] (see also [11] for the case of random coefficients) for SPDEs in the whole space by the method of random characteristics introduced there and also in [13] (a particular case of the maximum principle appeared a”