Existence and stability of measure solutions for BSDE with generators of quadratic growth

zbMath1282.60066arXiv1310.4041MaRDI QIDQ4925768

Alexander Fromm, Jianing Zhang, Peter Imkeller

Publication date: 12 June 2013

Full work available at URL: https://arxiv.org/abs/1310.4041

zbMATH Keywords

backward stochastic differential equationrisk neutral measuremeasure solutiongenerator of quadratic growth

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic integral equations (60H20) Applications of variational problems to control theory (58E25)

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