On quadratic multidimensional type-I BSVIEs, infinite families of BSDEs and their applications

DOI10.1016/j.spa.2023.05.001zbMath1524.60126arXiv2111.11131OpenAlexW3215693398MaRDI QIDQ6115252

Camilo Hernández

Publication date: 12 July 2023

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2111.11131

zbMATH Keywords

backward stochastic differential equationsbackward stochastic Volterra integral equationsrepresentation of partial differential equationsinfinite families of BSDEsrisk-sensitive nonzero sum gamestime inconsistency.

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integral equations (60H20)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• A system of quadratic BSDEs arising in a price impact model
• Splitting multidimensional BSDEs and finding local equilibria
• Adapted solution of a backward stochastic differential equation
• Backward SDEs with superquadratic growth
• On the uniqueness of solutions to quadratic BSDEs with non-convex generators and unbounded terminal conditions
• Quadratic BSDEs with convex generators and unbounded terminal conditions
• Well-posedness and regularity of backward stochastic Volterra integral equations
• On solutions of backward stochastic Volterra integral equations with jumps in Hilbert spaces
• Continuous exponential martingales and BMO
• Viability property for a backward stochastic differential equation and applications to partial differential equations
• A stability approach for solving multidimensional quadratic BSDEs
• Multidimensional Markovian FBSDEs with super-quadratic growth
• A class of globally solvable Markovian quadratic BSDE systems and applications
• Time-inconsistent optimal control problems and the equilibrium HJB equation
• Vector-valued coherent risk measures
• Backward stochastic differential equations and partial differential equations with quadratic growth.
• The golden rule when preferences are time inconsistent
• A financial market with interacting investors: does an equilibrium exist?
• Comparison theorem for diagonally quadratic BSDEs
• A unified approach to well-posedness of type-I backward stochastic Volterra integral equations
• Recursive utility processes, dynamic risk measures and quadratic backward stochastic Volterra integral equations
• A type of globally solvable BSDEs with triangularly quadratic generators
• Extended backward stochastic Volterra integral equations and their applications to time-inconsistent stochastic recursive control problems
• Backward stochastic Volterra integral equations -- representation of adapted solutions
• A martingale approach for fractional Brownian motions and related path dependent PDEs
• Multidimensional quadratic BSDEs with separated generators
• BSDE with quadratic growth and unbounded terminal value
• Solvability of backward stochastic differential equations with quadratic growth
• Backward stochastic Volterra integral equations and some related problems
• On the comparison theorem for multidimensional BSDEs
• Quadratic BSDEs with jumps: a fixed-point approach
• BSDEs and risk-sensitive control, zero-sum and nonzero-sum game problems of stochastic functional differential equations.
• Coherent Measures of Risk
• Multidimensional quadratic and subquadratic BSDEs with special structure
• Stability and Analytic Expansions of Local Solutions of Systems of Quadratic BSDEs with Applications to a Price Impact Model
• NON-LIPSCHITZ BACKWARD STOCHASTIC VOLTERRA TYPE EQUATIONS WITH JUMPS
• Multidimensional Coherent and Convex Risk Measures
• Adapted solution of a backward semilinear stochastic evolution equation
• Backward Stochastic Differential Equations in Finance
• Existence for BSDE with superlinear–quadratic coefficient
• Adapted solution of a backward stochastic nonlinear Volterra integral equation
• Equilibrium Strategies for the Mean-Variance Investment Problem over a Random Horizon
• Time-Inconsistent Recursive Stochastic Optimal Control Problems
• Contracting Theory with Competitive Interacting Agents
• SOLVABILITY OF GENERAL BACKWARD STOCHASTIC VOLTERRA INTEGRAL EQUATIONS
• Time-inconsistent stochastic optimal control problems and backward stochastic volterra integral equations
• Backward Stochastic Volterra Integro-Differential Equations and Applications in Optimal Control Problems
• OPTIMAL INVESTMENT UNDER RELATIVE PERFORMANCE CONCERNS
• Equilibrium Pricing Under Relative Performance Concerns
• Multi-dimensional backward stochastic differential equations of diagonally quadratic generators

This page was built for publication: On quadratic multidimensional type-I BSVIEs, infinite families of BSDEs and their applications