16 citations · 31 across the 11 of their papers we have counts for
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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
Good Rough Path Sequences and Applications to Anticipating & Fractional Stochastic Calculus
Laure Coutin, Peter Friz, Nicolas Victoir
We consider anticipative Stratonovich stochastic differential equations driven by some stochastic process (not necessarily a semi-martingale). No adaptedness of initial point or ve…