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Adapted solution of a backward stochastic differential equation

19902,731 citationsJournal Article

Authors

Étienne Pardoux · Institut national de recherche en informatique et en automatique

Shigē Péng · Shandong University

Topics & Keywords

Stochastic processes and financial applications Stochastic processes and statistical mechanics Markov Chains and Monte Carlo Methods

Publication Details

Published in: Systems & Control Letters

Volume 14, Issue 1, pp. 55-61

DOI: 10.1016/0167-6911(90)90082-6

Field-Weighted Citation Impact: 6.56

Adapted solution of a backward stochastic differential equation | Researchclopedia