9 citations · 27 across the 12 of their papers we have counts for
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math.PR2018
Nonlinear predictable representation and -solutions of backward SDEs and second-order backward SDEs
Zhenjie Ren, Nizar Touzi, Junjian Yang
The theory of backward SDEs extends the predictable representation property of Brownian motion to the nonlinear framework, thus providing a path-dependent analog of fully nonlinear…
math.PR2018★ 9 cited
Second order backward SDE with random terminal time
Yiqing Lin, Zhenjie Ren, Nizar Touzi +1
Backward stochastic differential equations extend the martingale representation theorem to the nonlinear setting. This can be seen as path-dependent counterpart of the extension fr…