Lp solutions of backward stochastic differential equations
By P. Briand, Bernard Delyon, Ying Hu, 'Etienne Pardoux, L. Stoica. 2003
350 citations recorded by the source corpus.
Subfields: Demography, Finance
View Paper: https://www.semanticscholar.org/paper/44957cbfc9db4102eac3eb589d9cfa9bef1e3913
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Demography
- Tomasz Klimsiak
- Alexandre Popier
- P. Briand
- Mingyu Xu
- Ying Hu
- Adrien Richou
- Thomas Kruse
- Anis Matoussi
In Finance
- Adrien Richou
- P. Briand
- Tomasz Klimsiak
- Ying Hu
- Freddy Delbaen
- Alexandre Popier
- Thomas Kruse
- Shige Peng
Citations in the corpus
- Stochastic global maximum principle for optimization with recursive utilities (2017, background): “(14) In the following we recall standard estimates of BSDEs (see (Briand et al. 2003) and the references therein).”
- One-dimensional backward stochastic differential equations whose coefficient is monotonic in y and non-Lipschitz in z (2007, background): “2 in Briand et al. (2003) that Z G Hp and also that (4.”
- On the uniqueness of solutions to quadratic BSDEs with convex generators and unbounded terminal conditions (2009, methodology): “Then the classical comparison theorem gives us that Y ≤ Y ≤ Ȳ and we apply a classical a priori estimate for L solutions of BSDEs in [2] to Ȳ .”
- Reflected BSDEs on filtered probability spaces (2014, methodology): “Moreover, if the generator is independent of z, we consider Lp data for p ∈ [1, 2).”
- BSDEs with monotone generator driven by Brownian and Poisson noises in a general filtration (2014, methodology): “[5] have proved existence and uniqueness of a solution for the standard BSDE (1) in the case where the data belong only to Lp for some p ≥ 1.”
- Reflected backward stochastic differential equations under monotonicity and general increasing growth conditions (2005, background): “Independently, Duffie and Epstein (1992) introduced stochastic differential utilities in economic models as solutions of certain BSDEs. More recently, Briand and Carmona (2000), Pardoux (1999), and Briand et al.”
- Minimal supersolutions for BSDEs with singular terminal condition and application to optimal position targeting (2015, neutral): “in A2 (see [5], remark 4.”
- BSDEs with stochastic Lipschitz condition and quadratic PDEs in Hilbert spaces (2007, background): “In [1], in infinite dimension, the generator F is assumed to be only Lipschitz continuous only with respect to z and monotone with respect to y in the spirit of the works [21], [17] and more recently [2].”