Existence and Uniqueness for Non-Markovian Triangular Quadratic BSDEs
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Publication:5081638
DOI10.1137/21M1435689zbMath1495.60051arXiv2101.12302OpenAlexW3126759514MaRDI QIDQ5081638
Publication date: 17 June 2022
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2101.12302
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30)
Related Items (3)
The reverse Hölder inequality for matrix-valued stochastic exponentials and applications to quadratic BSDE systems ⋮ Global existence for quadratic FBSDE systems and application to stochastic differential games ⋮ On quasilinear parabolic systems and FBSDEs of quadratic growth
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