Backward stochastic differential equations



Placeholder: Keywords: nonlinear Feynman-Kac. Some kind of connection to optimal control?

References

Carbone, Raffaella, Benedetta Ferrario, and Marina Santacroce. 2008. Backward Stochastic Differential Equations Driven By Càdlàg Martingales.” Theory of Probability and Its Applications 52 (January): 304–14.
El Karoui, Nicole, Said Hamadene, and Anis Matoussi. 2008. “Backward Stochastic Differential Equations and Applications.” Indifference Pricing : Theory and Applications, January.
El Karoui, N., S. Peng, and M. C. Quenez. 1997. Backward Stochastic Differential Equations in Finance.” Mathematical Finance 7 (1): 1–71.
Gobet, Emmanuel, Jean-Philippe Lemor, and Xavier Warin. 2005. A Regression-Based Monte Carlo Method to Solve Backward Stochastic Differential Equations.” The Annals of Applied Probability 15 (3): 2172–202.
Kim, Edward. 2021. Arbitrage-Free Valuation in Nonlinear Financial Models.” Thesis.
Kushner, Harold J, and Giovanni DiMasi. 1978. Approximations for Functionals and Optimal Control Problems on Jump Diffusion Processes.” Journal of Mathematical Analysis and Applications 63 (3): 772–800.
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Peng, Shige. 2011. Backward Stochastic Differential Equation, Nonlinear Expectation and Their Applications.” In Proceedings of the International Congress of Mathematicians 2010 (ICM 2010), 393–432. Published by Hindustan Book Agency (HBA), India. WSPC Distribute for All Markets Except in India.
Peng, Shige, and Mingyu Xu. 2011. Numerical algorithms for backward stochastic differential equations with 1-d brownian motion: Convergence and simulations.” ESAIM: Mathematical Modelling and Numerical Analysis - Modélisation Mathématique et Analyse Numérique 45 (2): 335–60.
Perkowski, Nicolas. n.d. Backward Stochastic Differential Equations: An Introduction,” 22.
Şimşekli, Umut, Ozan Sener, George Deligiannidis, and Murat A. Erdogdu. 2020. Hausdorff Dimension, Stochastic Differential Equations, and Generalization in Neural Networks.” CoRR abs/2006.09313.
Wolpert, Robert L., and Lawrence D. Brown. 2021. Markov Infinitely-Divisible Stationary Time-Reversible Integer-Valued Processes.” arXiv:2105.14591 [Math], May.

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