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

2 citations · 3 across the 6 of their papers we have counts for

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math.PR2016

On Dynamic Deviation Measures and Continuous-Time Portfolio Optimisation

Martijn Pistorius, Mitja Stadje

In this paper we propose the notion of dynamic deviation measure, as a dynamic time-consistent extension of the (static) notion of deviation measure. To achieve time-consistency we…