9 citations · 21 across the 7 of their papers we have counts for
Showing math.PRShow all
2 papers · 1 filter
math.PR2014★ 7 cited
BSDEs driven by a multi-dimensional martingale and their applications to market models with funding costs
Tianyang Nie, Marek Rutkowski
We establish some well-posedness and comparison results for BSDEs driven by one- and multi-dimensional martingales. On the one hand, our approach is largely motivated by results an…
math.PR2012★ 2 cited
A stochastic approach to a new type of parabolic variational inequalities
Tianyang Nie
We study the following quasilinear partial differential equation with two subdifferential operators: $${\frac{\partial u}{\partial s}(s,x)} + (\mathcal{L}u)(s,x,u(s,x),(\nabla u(s,…