Representation theorems for backward stochastic differential equations

By Jin Ma, Jianfeng Zhang. 2002

58 citations recorded by the source corpus.

Subfields: Demography, Finance

View Paper: https://www.semanticscholar.org/paper/c6b52297c94c6f1344426e1bcfe0d577800eb29d

How researchers see this paper

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In Demography

1. Weidong Zhao
2. Shige Peng
3. Jin-lei Wang
4. Falei Wang
5. Yongsheng Song

In Finance

1. Falei Wang
2. Shige Peng
3. Weidong Zhao
4. Jin-lei Wang
5. Jianfeng Zhang
6. Li-Xin Zhang
7. Marcel Nutz
8. Yongsheng Song

Citations in the corpus

• Error estimates of the $\theta$-scheme for backward stochastic differentialequations (2009, methodology): “It is well-known [13, 20, 26] that the solution (yt, zt) of (1) can be represented as yt = u(t,Wt), zt = ∇xu(t,Wt), ∀ t ∈ [0, T ), (2) where u(t, x) is the smooth solution of the following parabolic partial differential equation (PDE) ∂u ∂t + 1 2 d”
• BSDE, path-dependent PDE and nonlinear Feynman-Kac formula (2011, background): “2 Path regularity of process Z In Pardoux and Peng [17] (see also [13, 14]), when the terminal of BSDE is the state-dependent case, i.”