A simple constructive approach to quadratic BSDEs with or without delay
By P. Briand, Romuald Elie. 2013
97 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/919b4423e516b7fbd89912a6b3af3110b947ef0c
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In Economics and Econometrics
In Finance
- Gordan vZitkovi'c
- Hao Xing
- Patrick Cheridito
- Kihun Nam
- M. Zili
- Ciprian A. Tudor
- Frederi G. Viens
- David Nualart
Citations in the corpus
- 7 – Backward Stochastic Differential Equations (2011, unknown): “[46] and Briand and Elie [11] for Lipschitz BSDEs and one-dimensional quadratic BSDEs.”
- BSDEs with terminal conditions that have bounded Malliavin derivative (2012, background): “1 of Briand and Elie [3], who used it to give a probabilistic proof that quadratic BSDEs with bounded terminal conditions have unique solutions.”
- Numerical simulation of quadratic BSDEs (2013, unknown): “When the terminal condition is bounded, we refer to [7, 34, 35, 42], and, in the unbounded case, we refer to [3, 8, 9, 19, 20].”
- A class of globally solvable Markovian quadratic BSDE systems and applications (2016, background): “6 It is known then (see [BE13] and [CN14] for sufficient conditions on X, f j and g j ) that the j -th component Z j of the solution is bounded, too.”