Existence of global solutions for multi-dimensional coupled FBSDEs with diagonally quadratic generators
From MaRDI portal
Publication:2685237
DOI10.1016/j.jmaa.2022.126948OpenAlexW3212491216MaRDI QIDQ2685237
Publication date: 20 February 2023
Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2111.07246
Cites Work
- Unnamed Item
- Monotone stability of quadratic semimartingales with applications to unbounded general quadratic BSDEs
- Forward-backward systems for expected utility maximization
- Four step scheme for general Markovian forward-backward SDEs
- A BSDE approach to Nash equilibrium payoffs for stochastic differential games with nonlinear cost functionals
- An FBSDE approach to the Skorokhod embedding problem for Gaussian processes with non-linear drift
- Linear forward-backward stochastic differential equations
- Forward-backward stochastic differential equations and their applications
- Forward-backward stochastic differential equations and quasilinear parabolic PDEs
- Backward-forward stochastic differential equations
- Solving forward-backward stochastic differential equations explicitly -- a four step scheme
- Continuous exponential martingales and BMO
- Comparison theorems for stochastic differential equations in finite and infinite dimensions
- Multidimensional Markovian FBSDEs with super-quadratic growth
- A class of globally solvable Markovian quadratic BSDE systems and applications
- On the existence and uniqueness of solutions to FBSDEs in a non-degenerate case.
- Hedging options for a large investor and forward-backward SDE's
- Solution of forward-backward stochastic differential equations
- Comparison theorem for diagonally quadratic BSDEs
- A class of quadratic forward-backward stochastic differential equations
- Characterization of fully coupled FBSDE in terms of portfolio optimization
- A type of globally solvable BSDEs with triangularly quadratic generators
- On well-posedness of forward-backward SDEs -- a unified approach
- Multidimensional quadratic BSDEs with separated generators
- Solvability of backward stochastic differential equations with quadratic growth
- Existence of the solutions of backward-forward SDE's with continuous monotone coefficients
- BSDEs and risk-sensitive control, zero-sum and nonzero-sum game problems of stochastic functional differential equations.
- Multidimensional quadratic and subquadratic BSDEs with special structure
- Open-Loop and Closed-Loop Solvabilities for Stochastic Linear Quadratic Optimal Control Problems
- Results on Numerics for FBSDE with Drivers of Quadratic Growth
- Sur l'existence de solutions d'équations différentielles stochastiques progréssives rétrogrades couplées
- Stochastic Differential Games and Viscosity Solutions of Hamilton–Jacobi–Bellman–Isaacs Equations
- Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control
- Backward Stochastic Differential Equations in Finance
- General Linear Quadratic Optimal Stochastic Control Problems with Random Coefficients: Linear Stochastic Hamilton Systems and Backward Stochastic Riccati Equations
- Solvability of coupled FBSDEs with diagonally quadratic generators
- Multi-dimensional backward stochastic differential equations of diagonally quadratic generators
This page was built for publication: Existence of global solutions for multi-dimensional coupled FBSDEs with diagonally quadratic generators
