Multidimensional quadratic and subquadratic BSDEs with special structure
From MaRDI portal
Publication:2804014
DOI10.1080/17442508.2015.1013959zbMath1337.60119arXiv1309.6716OpenAlexW2018884111MaRDI QIDQ2804014
Publication date: 27 April 2016
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1309.6716
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05) Stochastic integral equations (60H20)
Related Items
Equilibrium Pricing Under Relative Performance Concerns, Backward propagation of chaos, Coupled FBSDEs with measurable coefficients and its application to parabolic PDEs, One dimensional BSDEs with logarithmic growth application to PDEs, The reverse Hölder inequality for matrix-valued stochastic exponentials and applications to quadratic BSDE systems, Multi-dimensional backward stochastic differential equations of diagonally quadratic generators: the general result, On quadratic multidimensional type-I BSVIEs, infinite families of BSDEs and their applications, Existence of an equilibrium with limited participation, Existence of global solutions for multi-dimensional coupled FBSDEs with diagonally quadratic generators, Solvability of coupled FBSDEs with diagonally quadratic generators, A type of globally solvable BSDEs with triangularly quadratic generators, Anticipated backward stochastic differential equations with quadratic growth, Systems of Ergodic BSDEs Arising in Regime Switching Forward Performance Processes, A stability approach for solving multidimensional quadratic BSDEs, Existence and uniqueness results for BSDE with jumps: the whole nine yards, Contracting Theory with Competitive Interacting Agents, Multidimensional Markovian FBSDEs with super-quadratic growth, Locally Lipschitz BSDE driven by a continuous martingale a path-derivative approach, A class of globally solvable Markovian quadratic BSDE systems and applications, Decoupling on the Wiener Space, Related Besov Spaces, and Applications to BSDEs, Quadratic BSDEs with mean reflection, Multi-dimensional backward stochastic differential equations of diagonally quadratic generators, Stability and Analytic Expansions of Local Solutions of Systems of Quadratic BSDEs with Applications to a Price Impact Model, Quadratic \(G\)-BSDEs with convex generators and unbounded terminal conditions, Radner equilibrium and systems of quadratic BSDEs with discontinuous generators, Quadratic mean-field reflected BSDEs, On the uniqueness of solutions to quadratic BSDEs with convex generators and unbounded terminal conditions: the critical case
Cites Work
- Unnamed Item
- Adapted solution of a backward stochastic differential equation
- On measure solutions of backward stochastic differential equations
- Multidimensional BSDE with super-linear growth coefficient: application to degenerate systems of semilinear PDEs
- Forward-backward stochastic differential equations and quasilinear parabolic PDEs
- Continuous exponential martingales and BMO
- On the existence and uniqueness of solutions to FBSDEs in a non-degenerate case.
- Backward stochastic differential equations and partial differential equations with quadratic growth.
- A financial market with interacting investors: does an equilibrium exist?
- A simple constructive approach to quadratic BSDEs with or without delay
- BSDEs with terminal conditions that have bounded Malliavin derivative
- Solvability of backward stochastic differential equations with quadratic growth
- On the comparison theorem for multidimensional BSDEs
- Dynamic exponential utility indifference valuation
- Backward stochastic differential equations with locally Lipschitz coefficient
- Backward Stochastic Differential Equations in Finance
