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20112025
most citedA Regress-Later Algorithm for Backward Stochastic Differential Equations

2 citations · 3 across the 7 of their papers we have counts for

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math.PR2011★ 1 cited

Existence, minimality and approximation of solutions to BSDEs with convex drivers

Patrick Cheridito, Mitja Stadje

We study the existence of solutions to backward stochastic differential equations with drivers f(t,W,y,z) that are convex in z. We assume f to be Lipschitz in y and W but do not ma…