Anticipated backward stochastic differential equations with quadratic growth

DOI10.1016/j.jde.2020.07.001zbMath1467.60041arXiv1909.10846OpenAlexW3088988055MaRDI QIDQ2208474

Jiaqiang Wen, Ying Hu, Xun Li

Publication date: 3 November 2020

Published in: Journal of Differential Equations (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1909.10846

zbMATH Keywords

terminal valueanticipated backward stochastic differential equationquadratic generatorsuper-linear growthone- and multidimensional equationstime-advanced

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Related Items (6)

Quantitative stability and numerical analysis of Markovian quadratic BSDEs with reflection ⋮ Forward-backward doubly stochastic systems and classical solutions of path-dependent stochastic PDEs ⋮ Mean-field backward stochastic differential equations driven by fractional Brownian motion ⋮ Weak closed-loop solvability of stochastic linear quadratic optimal control problems of Markovian regime switching system ⋮ Solvability of a class of mean-field BSDEs with quadratic growth ⋮ Well-posedness of mean reflected BSDEs with non-Lipschitz coefficients

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