On the backward stochastic differential equation with generator \(f(y)|z|^2\)

DOI10.1016/J.JMAA.2021.125102zbMath1465.60055arXiv1810.07086OpenAlexW3133147222WikidataQ115345882 ScholiaQ115345882MaRDI QIDQ2661266

Lichao Feng, Shi-qiu Zheng, Li-Dong Zhang

Publication date: 3 April 2021

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1810.07086

zbMATH Keywords

viscosity solutioncomparison theorembackward stochastic differential equationquadratic growthconverse comparison theorem

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items (2)

Pricing Principle via Tsallis Relative Entropy in Incomplete Markets ⋮ A representation theorem approach to probabilistic interpretation for viscosity solutions of Isaacs equations

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Adapted solution of a backward stochastic differential equation
• Existence of solutions for degenerate parabolic equations with singular terms
• Quadratic BSDEs with convex generators and unbounded terminal conditions
• Backward stochastic differential equations and partial differential equations with quadratic growth.
• Quadratic BSDE with \(\mathbb{L}^{2}\)-terminal data: Krylov's estimate, Itô-Krylov's formula and existence results
• BSDE with quadratic growth and unbounded terminal value
• A simple constructive approach to quadratic BSDEs with or without delay
• Utility maximization in incomplete markets
• \(L^p\) solutions of backward stochastic differential equations.
• Pricing Via Utility Maximization and Entropy
• Uniqueness Results for Second-Order Bellman--Isaacs Equations under Quadratic Growth Assumptions and Applications

This page was built for publication: On the backward stochastic differential equation with generator \(f(y)|z|^2\)