Quadratic BSDEs with convex generators and unbounded terminal conditions
From MaRDI portal
Publication:929376
DOI10.1007/s00440-007-0093-yzbMath1141.60037arXivmath/0703423OpenAlexW3103310378MaRDI QIDQ929376
Publication date: 17 June 2008
Published in: Probability Theory and Related Fields (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/math/0703423
Related Items (only showing first 100 items - show all)
Bounded solutions, \(L^p\) \((p > 1)\) solutions and \(L^1\) solutions for one dimensional BSDEs under general assumptions ⋮ Quadratic backward stochastic differential equations driven by \(G\)-Brownian motion: discrete solutions and approximation ⋮ Stochastic Bihari inequality and applications to BSDE ⋮ Utility indifference valuation for non-smooth payoffs with an application to power derivatives ⋮ Moral hazard under ambiguity ⋮ On the stability theorem of \(L^{p}\) solutions for multidimensional BSDEs with uniform continuity generators in \(z\) ⋮ Forests, cumulants, martingales ⋮ On measure solutions of backward stochastic differential equations ⋮ Harmonic analysis of stochastic equations and backward stochastic differential equations ⋮ Uniqueness result for the BSDE whose generator is monotonic in \(y\) and uniformly continuous in \(z\) ⋮ Some results on general quadratic reflected BSDEs driven by a continuous martingale ⋮ On the backward stochastic differential equation with generator \(f(y)|z|^2\) ⋮ Monotone stability of quadratic semimartingales with applications to unbounded general quadratic BSDEs ⋮ A generalized existence theorem of backward doubly stochastic differential equations ⋮ Multidimensional BSDEs with weak monotonicity and general growth generators ⋮ Backward stochastic differential equations with a uniformly continuous generator and related \(g\)-expectation ⋮ \(L^p (p > 1)\) solutions of BSDEs with generators satisfying some non-uniform conditions in \(t\) and \(\omega\) ⋮ Local existence and uniqueness of solutions to quadratic BSDEs with weak monotonicity and general growth generators ⋮ Quantitative stability and numerical analysis of Markovian quadratic BSDEs with reflection ⋮ A class of BSDE with integrable parameters ⋮ Infinite horizon stochastic optimal control for Volterra equations with completely monotone kernels ⋮ On securitization, market completion and equilibrium risk transfer ⋮ A financial market with interacting investors: does an equilibrium exist? ⋮ Splitting multidimensional BSDEs and finding local equilibria ⋮ Existence, uniqueness and comparison theorem on unbounded solutions of scalar super-linear BSDEs ⋮ The Bellman equation for power utility maximization with semimartingales ⋮ A generalized comparison theorem for BSDEs and its applications ⋮ Quadratic reflected BSDEs with unbounded obstacles ⋮ Existence, minimality and approximation of solutions to BSDEs with convex drivers ⋮ BSDEs with diffusion constraint and viscous Hamilton-Jacobi equations with unbounded data ⋮ A comparison theorem and uniqueness theorem of backward doubly stochastic differential equations ⋮ Optimal investment strategies for asset-liability management with affine diffusion factor processes and HARA preferences ⋮ A type of globally solvable BSDEs with triangularly quadratic generators ⋮ Functional inequalities for forward and backward diffusions ⋮ BSDEs in utility maximization with BMO market price of risk ⋮ Minimal supersolutions of convex BSDEs ⋮ Anticipated backward stochastic differential equations with quadratic growth ⋮ Markovian quadratic and superquadratic BSDEs with an unbounded terminal condition ⋮ Perfect hedging under endogenous permanent market impacts ⋮ Pseudo linear pricing rule for utility indifference valuation ⋮ A simple constructive approach to quadratic BSDEs with or without delay ⋮ Second order backward stochastic differential equations with quadratic growth ⋮ Existence and uniqueness results for BSDE with jumps: the whole nine yards ⋮ Numerical simulation of BSDEs with drivers of quadratic growth ⋮ Progressive enlargement of filtrations and backward stochastic differential equations with jumps ⋮ BSDEs with terminal conditions that have bounded Malliavin derivative ⋮ 44th seminar on probability. Including papers from the `Journées de Probabilités', Dijon, France, June 2010 ⋮ Multidimensional Markovian FBSDEs with super-quadratic growth ⋮ \(L^p\) solutions of multidimensional BSDEs with weak monotonicity and general growth generators ⋮ BSDEs driven by \(G\)-Brownian motion with non-Lipschitz coefficients ⋮ Locally Lipschitz BSDE driven by a continuous martingale a path-derivative approach ⋮ Optimal consumption and investment with Epstein-Zin recursive utility ⋮ Representation theorems for quadratic \(\mathcal F\)-consistent nonlinear expectations ⋮ Uniqueness of solution to scalar BSDEs with \(L\exp\left(\mu_0\sqrt{2\log(1+L)}\right)\)-integrable terminal values: an \(L^1\)-solution approach ⋮ Approximation of BSDEs with super-linearly growing generators by Euler's polygonal line method: a simple proof of the existence ⋮ A class of globally solvable Markovian quadratic BSDE systems and applications ⋮ Characterization of the value process in robust efficient hedging ⋮ Reflected quadratic BSDEs driven by \(G\)-Brownian motions ⋮ Backward stochastic partial differential equations with quadratic growth ⋮ Backward stochastic differential equations associated with the vorticity equations ⋮ Quadratic BSDEs with mean reflection ⋮ On the uniqueness of solutions to quadratic BSDEs with convex generators and unbounded terminal conditions ⋮ Convex Hamilton-Jacobi equations under superlinear growth conditions on data ⋮ Existence and uniqueness result for a backward stochastic differential equation whose generator is Lipschitz continuous in \(y\) and uniformly continuous in \(z\) ⋮ Finite and infinite time interval BSDEs with non-Lipschitz coefficients ⋮ Optimal stopping for non-linear expectations. II ⋮ One-dimensional BSDEs with finite and infinite time horizons ⋮ General existence results for reflected BSDE and BSDE ⋮ A representation theorem for generators of BSDEs with continuous linear-growth generators in the space of processes ⋮ A Bismut-Elworthy formula for quadratic BSDEs ⋮ Backward stochastic dynamics on a filtered probability space ⋮ Backward SDEs with superquadratic growth ⋮ Convexity bounds for BSDE solutions, with applications to indifference valuation ⋮ LINKED RECURSIVE PREFERENCES AND OPTIMALITY ⋮ Open-loop equilibrium strategy for mean-variance portfolio problem under stochastic volatility ⋮ Comparison theorem for diagonally quadratic BSDEs ⋮ Backward stochastic differential equations driven by \(G\)-Brownian motion with uniformly continuous generators ⋮ Forward-backward stochastic differential equation with subdifferential operator and associated variational inequality ⋮ A class of backward doubly stochastic differential equations with non-Lipschitz coefficients ⋮ A new existence result for second-order BSDEs with quadratic growth and their applications ⋮ Some uniqueness results for one-dimensional BSDEs with uniformly continuous coefficients ⋮ Open-loop equilibrium reinsurance-investment strategy under mean-variance criterion with stochastic volatility ⋮ Existence, uniqueness and stability of \(L^1\) solutions for multidimensional backward stochastic differential equations with generators of one-sided Osgood type ⋮ A study of backward stochastic differential equation on a Riemannian manifold ⋮ The convergence rate from discrete to continuous optimal investment stopping problem ⋮ Recursive utility processes, dynamic risk measures and quadratic backward stochastic Volterra integral equations ⋮ The Cauchy problem of backward stochastic super-parabolic equations with quadratic growth ⋮ Quadratic \(G\)-BSDEs with convex generators and unbounded terminal conditions ⋮ Solvability of a class of mean-field BSDEs with quadratic growth ⋮ On the uniqueness of solutions to quadratic BSDEs with non-convex generators and unbounded terminal conditions ⋮ Quadratic mean-field reflected BSDEs ⋮ Quadratic \(g\)-convexity, \(C\)-convexity and their relationships ⋮ Representation theorems for generators of BSDEs with monotonic and convex growth generators ⋮ Well-posedness of mean reflected BSDEs with non-Lipschitz coefficients ⋮ Optimal investment-reinsurance strategy for mean-variance insurers with square-root factor process ⋮ Mean field portfolio games ⋮ On the uniqueness of solutions to quadratic BSDEs with convex generators and unbounded terminal conditions: the critical case ⋮ Backward stochastic differential equations driven by \(G\)-Brownian motion with uniformly continuous coefficients in \((y, z)\) ⋮ Feynman-Kac representation of fully nonlinear PDEs and applications ⋮ Numerical simulation of quadratic BSDEs
Cites Work
- Adapted solution of a backward stochastic differential equation
- One-dimensional backward stochastic differential equations whose coefficient is monotonic in \(y\) and non-Lipschitz in \(z\)
- Backward stochastic differential equations with continuous coefficient
- Backward stochastic differential equations and partial differential equations with quadratic growth.
- BSDE with quadratic growth and unbounded terminal value
- Besides with stochastic Lipschitz condition and quadratic PDEs in Hilbert spaces
- Utility maximization in incomplete markets
- \(L^p\) solutions of backward stochastic differential equations.
- Uniqueness Results for Second-Order Bellman--Isaacs Equations under Quadratic Growth Assumptions and Applications
- Backward Stochastic Differential Equations in Finance
- Existence for BSDE with superlinear–quadratic coefficient
- On a Class of Stochastic Optimal Control Problems Related to BSDEs with Quadratic Growth
- Unnamed Item
- Unnamed Item
This page was built for publication: Quadratic BSDEs with convex generators and unbounded terminal conditions
