BSDEs with polynomial growth generators in a defaultable market

DOI10.1016/j.jmaa.2013.03.038zbMath1304.60067OpenAlexW2088462969MaRDI QIDQ488680

Dongmei Guo, Qi Zhang, Hui-nan Leng

Publication date: 26 January 2015

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

Full work available at URL: https://doi.org/10.1016/j.jmaa.2013.03.038

zbMATH Keywords

backward stochastic differential equationdefault timedefaultable marketdefault processpolynomial growth generator

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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• Exponential utility maximization in an incomplete market with defaults
• Probabilistic representation of weak solutions of partial differential equations with polynomial growth coefficients
• Adapted solution of a backward stochastic differential equation
• Random times and enlargements of filtrations in a Brownian setting.
• Forward-backward stochastic differential equations and quasilinear parabolic PDEs
• Backward stochastic differential equations with continuous coefficient
• PDE solutions of stochastic differential utility
• BSDEs with polynomial growth generators
• Backward stochastic differential equations and partial differential equations with quadratic growth.
• BSDEs with random default time and related zero-sum stochastic differential games
• Stochastic Differential Utility
• PDE approach to valuation and hedging of credit derivatives

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