103 citations · 107 across the 2 of their papers we have counts for
2 papers
math.PR2005★ 4 cited
Second order backward stochastic differential equations and fully non-linear parabolic PDEs
Patrick Cheridito, H. Mete Soner, Nizar Touzi +1
We introduce a class of second order backward stochastic differential equations and show relations to fully non-linear parabolic PDEs. In particular, we provide a stochastic repres…
math.PR2005★ 103 cited
Equivalent and absolutely continuous measure changes for jump-diffusion processes
Patrick Cheridito, Damir Filipovic, Marc Yor
We provide explicit sufficient conditions for absolute continuity and equivalence between the distributions of two jump-diffusion processes that can explode and be killed by a pote…