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One dimensional BSDEs with critical integrable terminal values and infinite time horizon - MaRDI portal

One dimensional BSDEs with critical integrable terminal values and infinite time horizon (Q6569407)

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scientific article; zbMATH DE number 7878490

Language	Label	Description	Also known as
English	One dimensional BSDEs with critical integrable terminal values and infinite time horizon	scientific article; zbMATH DE number 7878490

Statements

scholarly article

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One dimensional BSDEs with critical integrable terminal values and infinite time horizon (English)

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Systems \& Control Letters

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publication date

9 July 2024

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zbMATH Keywords

backward stochastic differential equations

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infinite time horizon

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Girsanov's theorem

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MaRDI profile type

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Adapted solution of a backward stochastic differential equation

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\(L^p\) solutions of backward stochastic differential equations.

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BSDE with quadratic growth and unbounded terminal value

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Uniqueness of solution to scalar BSDEs with \(L\exp(\mu \sqrt{2\log(1+L)})\)-integrable terminal values

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Bounded solutions, \(L^p\) \((p > 1)\) solutions and \(L^1\) solutions for one dimensional BSDEs under general assumptions

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Existence, uniqueness and comparison theorem on unbounded solutions of scalar super-linear BSDEs

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One-dimensional BSDEs with finite and infinite time horizons

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Infinite horizon backward stochastic differential equations and elliptic equations in Hilbert spaces.

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Backward Stochastic Differential Equations in Finance

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Backward equations, stochastic control and zero-sum stochastic differential games

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Stochastic differential equations, backward SDEs, partial differential equations

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Continuous-time stochastic control and optimization with financial applications

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Existence of solution to scalar BSDEs with \(L\exp\left(\sqrt {\frac{2}{\lambda}\log(1+L)}\right)\)-integrable terminal values

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Existence and uniqueness of solution to scalar BSDEs with \(L\exp (\mu \sqrt{2\log (1+L)} )\)-integrable terminal values: the critical case

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\(L^{p}\) solutions of infinite time interval BSDEs and the corresponding \(g\)-expectations and \(g\)-martingales

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Existence and uniqueness result for a backward stochastic differential equation whose generator is Lipschitz continuous in \(y\) and uniformly continuous in \(z\)

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Identifiers

Mathematics Subject Classification ID

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zbMATH DE Number

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10.1016/J.SYSCONLE.2024.105779

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Sitelinks

Mathematics(1 entry)

mardi Publication:6569407

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