Stochastic Differential Equations, Backward SDEs, Partial Differential Equations

By 'Etienne Pardoux, A. Rășcanu. 2014

248 citations recorded by the source corpus.

Subfields: Finance, Management Science and Operations Research, Statistical and Nonlinear Physics

View Paper: https://www.semanticscholar.org/paper/92ce9e65a11c55bc9928976abc6dd5a6b471fd89

How researchers see this paper

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

In Finance

1. Pierre Cardaliaguet
2. Daniel Lacker
3. Franccois Delarue
4. Pierre-Louis Lions
5. Jean-Michel Lasry
6. François Delarue
7. Diogo A. Gomes
8. Alessio Porretta

In Management Science and Operations Research

1. Franccois Delarue
2. Pierre Cardaliaguet
3. Pierre-Louis Lions
4. Jean-Michel Lasry

In Statistical and Nonlinear Physics

1. Franccois Delarue
2. Pierre Cardaliaguet
3. Pierre-Louis Lions
4. Jean-Michel Lasry
5. Panagiotis E. Souganidis
6. Russell W. Schwab

Citations in the corpus

• The Master Equation and the Convergence Problem in Mean Field Games (2015, methodology): “Up to now, the well-posedness of this system has never been investigated, but it is reminiscent of the theory of forward-backward stochastic differential equations in finite dimension, see for instance the monograph [59].”
• Applied Stochastic Differential Equations (2019, unknown): “For more general results, the reader is referred to Pardoux and Răşcanu (2014), Simon (2015), and Piiroinen and Simon (2016).”