Dynamic Conic Finance via Backward Stochastic Difference Equations

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Cite
Bielecki, Tomasz R., et al. “Dynamic Conic Finance via Backward Stochastic Difference Equations”. SIAM Journal on Financial Mathematics, vol. 6, no. 1, 2015, pp. 1068-22, https://doi.org/10.1137/141002013.
Bielecki, T. R., Cialenco, I., & Chen, T. (2015). Dynamic Conic Finance via Backward Stochastic Difference Equations. SIAM Journal on Financial Mathematics, 6(1), 1068-1122. https://doi.org/10.1137/141002013
Bielecki, Tomasz R., Igor Cialenco, and Tao Chen. “Dynamic Conic Finance via Backward Stochastic Difference Equations”. SIAM Journal on Financial Mathematics 6, no. 1 (2015): 1068-1122. https://doi.org/10.1137/141002013.
Bielecki TR, Cialenco I, Chen T. Dynamic Conic Finance via Backward Stochastic Difference Equations. SIAM Journal on Financial Mathematics. 2015;6(1):1068-122.
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Refrences
Title Journal Journal Categories Citations Publication Date
Title 1997
Title 1990
Title Journal of Applied Probability
  • Science: Mathematics: Probabilities. Mathematical statistics
  • Science: Mathematics
 2015
Title 2011
10.1142/S0219024913500027
Citations
Title Journal Journal Categories Citations Publication Date
First- and Second-Order Maximum Principles for Discrete-Time Stochastic Optimal Control With Recursive Utilities IEEE Transactions on Automatic Control
  • Technology: Mechanical engineering and machinery
  • Technology: Electrical engineering. Electronics. Nuclear engineering: Electric apparatus and materials. Electric circuits. Electric networks
  • Technology: Mechanical engineering and machinery
  • Technology: Electrical engineering. Electronics. Nuclear engineering: Electronics
  • Technology: Engineering (General). Civil engineering (General)
 2024
Solvability of general fully coupled forward–backward stochastic difference equations with delay and applications

 Optimal Control Applications and Methods
  • Technology: Mechanical engineering and machinery
  • Technology: Manufactures: Production management. Operations management
  • Technology: Technology (General): Industrial engineering. Management engineering: Applied mathematics. Quantitative methods
  • Technology: Mechanical engineering and machinery
  • Technology: Electrical engineering. Electronics. Nuclear engineering: Electronics
  • Technology: Engineering (General). Civil engineering (General)
 2023
Solvability of one kind of forward-backward stochastic difference equations Communications in Statistics - Theory and Methods
  • Science: Mathematics: Probabilities. Mathematical statistics
  • Science: Mathematics
 1 2023
A posteriori error estimates for fully coupled McKean–Vlasov forward-backward SDEs

 IMA Journal of Numerical Analysis
  • Technology: Technology (General): Industrial engineering. Management engineering: Applied mathematics. Quantitative methods
  • Science: Mathematics
 2023
Robustness of Delta Hedging in a Jump-Diffusion Model SIAM Journal on Financial Mathematics
  • Social Sciences: Finance
  • Social Sciences: Statistics
  • Science: Mathematics
  • Social Sciences: Economic theory. Demography: Economics as a science
  • Social Sciences: Commerce: Business
  • Social Sciences: Economic theory. Demography: Economics as a science
 2023
Citations Analysis
Category Category Repetition
Science: Mathematics8
Technology: Technology (General): Industrial engineering. Management engineering: Applied mathematics. Quantitative methods7
Technology: Mechanical engineering and machinery6
Technology: Engineering (General). Civil engineering (General)6
Technology: Electrical engineering. Electronics. Nuclear engineering: Electronics5
Technology: Manufactures: Production management. Operations management5
Social Sciences: Finance4
Social Sciences: Economic theory. Demography: Economics as a science3
Social Sciences: Commerce: Business3
Science: Mathematics: Probabilities. Mathematical statistics3
Social Sciences: Commerce: Business: Accounting. Bookkeeping1
Social Sciences: Statistics1
Social Sciences: Commerce: Business: Personnel management. Employment management1
The category Science: Mathematics 8 is the most commonly referenced area in studies that cite this article. The first research to cite this article was titled Discrete-Time Option Pricing with Stochastic Liquidity and was published in 2016. The most recent citation comes from a 2024 study titled First- and Second-Order Maximum Principles for Discrete-Time Stochastic Optimal Control With Recursive Utilities. This article reached its peak citation in 2022, with 6 citations. It has been cited in 20 different journals, 10% of which are open access. Among related journals, the Optimal Control Applications and Methods cited this research the most, with 2 citations. The chart below illustrates the annual citation trends for this article.
Citations used this article by year