# Backward stochastic differential equations

September 19, 2019 — June 22, 2021

dynamical systems

Lévy processes

probability

SDEs

signal processing

stochastic processes

time series

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

## 1 References

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Kim. 2021. “Arbitrage-Free Valuation in Nonlinear Financial Models.”

Kushner, and DiMasi. 1978. “Approximations for Functionals and Optimal Control Problems on Jump Diffusion Processes.”

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Pardoux. 1995. “Backward Stochastic Differential Equations and Applications.” In

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Perkowski. n.d. “Backward Stochastic Diﬀerential Equations: An Introduction.”

Şimşekli, Sener, Deligiannidis, et al. 2020. “Hausdorff Dimension, Stochastic Differential Equations, and Generalization in Neural Networks.”

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Wolpert, and Brown. 2021. “Markov Infinitely-Divisible Stationary Time-Reversible Integer-Valued Processes.”

*arXiv:2105.14591 [Math]*.