Gonçalo dos Reis

most citedFBSDE with time delayed generators: Lp-solutions, differentiability, representation formulas and path regularity

2 citations · 2 across the 2 of their papers we have counts for

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math.PR2012

Quadratic FBSDE with generalized Burgers' type nonlinearities, perturbations and large deviations

Christoph Frei, Gonçalo Dos Reis

We discuss BSDE with drivers containing nonlinearities of the type $p (y) ∣ z ∣$ and $p (y) ∣ z ∣^{2}$ with $p$ a polynomial of any degree. Sufficient conditions are given for existence and…

math.PR2010★ 2 cited

FBSDE with time delayed generators: Lp-solutions, differentiability, representation formulas and path regularity

Gonçalo dos Reis, Anthony Réveillac, Jianing Zhang

We extend the work of Delong and Imkeller (2010a,b) concerning Backward stochastic differential equations with time delayed generators (delay BSDE). We give moment and a priori est…