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20122026
most citedA stochastic approach to path-dependent nonlinear Kolmogorov equations via BSDEs with time-delayed generators and applications to finance

14 citations · 44 across the 33 of their papers we have counts for

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math.PR2021

A change of measure formula for recursive conditional expectations

Luca Di Persio, Alessandro Gnoatto, Marco Patacca

In this paper, we derive a representation for the value process associated to the solutions of FBSDEs in a jump-diffusion setting under multiple probability measures. Motivated by…