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A stability approach for solving multidimensional quadratic BSDEs - MaRDI portal

A stability approach for solving multidimensional quadratic BSDEs (Q1721997)

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Language	Label	Description	Also known as
English	A stability approach for solving multidimensional quadratic BSDEs	scientific article

Statements

scholarly article

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A stability approach for solving multidimensional quadratic BSDEs (English)

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Jonathan Harter

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Electronic Journal of Probability

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publication date

14 February 2019

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full work available at URL

https://arxiv.org/abs/1606.08627

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https://projecteuclid.org/euclid.ejp/1549616425

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zbMATH Keywords

BSDEs

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quadratic BSDEs

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martingales

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MaRDI profile type

MaRDI publication profile

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Differentiable and analytic families of continuous martingales in manifolds with connection

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Paraproducts and Commutators of Martingale Transforms

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A simple constructive approach to quadratic BSDEs with or without delay

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Monotone stability of quadratic semimartingales with applications to unbounded general quadratic BSDEs

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BSDE with quadratic growth and unbounded terminal value

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Conjugate convex functions in optimal stochastic control

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Equilibrium Pricing Under Relative Performance Concerns

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New proofs of some results on bounded mean oscillation martingales using backward stochastic differential equations

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Multidimensional quadratic and subquadratic BSDEs with special structure

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Constructing gamma-martingales with prescribed limit, using backwards SDE

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On the uniqueness of solutions to quadratic BSDEs with convex generators and unbounded terminal conditions

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Harmonic analysis of stochastic equations and backward stochastic differential equations

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BSDEs and risk-sensitive control, zero-sum and nonzero-sum game problems of stochastic functional differential equations.

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Backward Stochastic Differential Equations in Finance

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Stochastic calculus in manifolds. With an appendix by P.A. Meyer

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Contracting Theory with Competitive Interacting Agents

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OPTIMAL INVESTMENT UNDER RELATIVE PERFORMANCE CONCERNS

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A financial market with interacting investors: does an equilibrium exist?

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Splitting multidimensional BSDEs and finding local equilibria

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Decoupling on the Wiener Space, Related Besov Spaces, and Applications to BSDEs

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Multi-dimensional backward stochastic differential equations of diagonally quadratic generators

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Multidimensional quadratic BSDEs with separated generators

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Continuous exponential martingales and BMO

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Probability, Convexity, and Harmonic Maps with Small Image I: Uniqueness and Fine Existence

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Backward stochastic differential equations and partial differential equations with quadratic growth.

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A system of quadratic BSDEs arising in a price impact model

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Stability and Analytic Expansions of Local Solutions of Systems of Quadratic BSDEs with Applications to a Price Impact Model

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Incomplete Stochastic Equilibria with Exponential Utilities Close to Pareto Optimality

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On the maximal inequalities of Burkholder, Davis and Gundy

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The Malliavin Calculus and Related Topics

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Barycenters and martingales on a manifold

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Adapted solution of a backward stochastic differential equation

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Solvability of backward stochastic differential equations with quadratic growth

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A class of globally solvable Markovian quadratic BSDE systems and applications

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Identifiers

zbMATH Open document ID

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10.1214/18-EJP260

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:1721997

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