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20082020
most citedFractional backward stochastic differential euqations and fractional backward variational inequalities

34 citations · 167 across the 14 of their papers we have counts for

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math.PR2016★ 14 cited

A stochastic approach to path-dependent nonlinear Kolmogorov equations via BSDEs with time-delayed generators and applications to finance

Francesco Cordoni, Luca Di Persio, Lucian Maticiuc +1

We prove the existence of a viscosity solution of the following path dependent nonlinear Kolmogorov equation: \[ \begin{cases} \partial_{t}u(t,ϕ)+\mathcal{L}u(t,ϕ)+f(t,ϕ,u(t,ϕ),\pa…