Existence, minimality and approximation of solutions to BSDEs with convex drivers (Q424485): Difference between revisions

The authors consider a class of backward stochastic differential equations with drivers \(f(t, W, y, z)\) that are convex in \(z\) and with \(f\) Lipschitz in \(y\) and \(W\). Conditions are given for the existence and uniqueness of the solution of the BSDE, the method being to approximate the BSDE by discrete-time equations. Further imposed conditions allow the conclusion that the supersolutions obtained are minimal.

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zbMATH Keywords

Backward stochastic differential equations

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backward stochastic difference equations

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convex drivers

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discrete-time approximations

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supersolutions

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reviewed by

Andrew I. Dale

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MaRDI profile type

MaRDI publication profile

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cites work

Q3482640

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Q3613976

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The local theory for viscous Hamilton--Jacobi equations in Lebesgue spaces.

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On the robustness of backward stochastic differential equations.

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BSDE with quadratic growth and unbounded terminal value

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Quadratic BSDEs with convex generators and unbounded terminal conditions

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BS\(\Delta\)Es and BSDEs with non-Lipschitz drivers: comparison, convergence and robustness

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Backward SDEs with superquadratic growth

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On the uniqueness of solutions to quadratic BSDEs with convex generators and unbounded terminal conditions

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Representation of the penalty term of dynamic concave utilities

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Backward Stochastic Differential Equations in Finance

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The Cauchy problem for \(u_{t}=\Delta u+| \nabla u|^q\)

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Continuous exponential martingales and BMO

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Adapted solution of a backward stochastic differential equation

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Monotonic limit theorem of BSDE and nonlinear decomposition theorem of Doob-Meyer's type

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Identifiers

zbMATH Open document ID

1252.60053

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DOI

10.1016/j.spa.2011.12.008

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:424485

@@ Property / review text @@
+The authors consider a class of backward stochastic differential equations with drivers \(f(t, W, y, z)\) that are convex in \(z\) and with \(f\) Lipschitz in \(y\) and \(W\). Conditions are given for the existence and uniqueness of the solution of the BSDE, the method being to approximate the BSDE by discrete-time equations. Further imposed conditions allow the conclusion that the supersolutions obtained are minimal.
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+H10
@@ Property / Mathematics Subject Classification ID: 60H10 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+C30
@@ Property / Mathematics Subject Classification ID: 65C30 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+6040293
@@ Property / zbMATH DE Number: 6040293 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+Backward stochastic differential equations
@@ Property / zbMATH Keywords: Backward stochastic differential equations / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+backward stochastic difference equations
@@ Property / zbMATH Keywords: backward stochastic difference equations / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+convex drivers
@@ Property / zbMATH Keywords: convex drivers / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+discrete-time approximations
@@ Property / zbMATH Keywords: discrete-time approximations / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+supersolutions
@@ Property / zbMATH Keywords: supersolutions / rank @@
+Normal rank
@@ Property / reviewed by @@
+Andrew I. Dale
@@ Property / reviewed by: Andrew I. Dale / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / OpenAlex ID @@
+W2051836233
@@ Property / OpenAlex ID: W2051836233 / rank @@
+Normal rank
@@ Property / arXiv ID @@
+.1471
@@ Property / arXiv ID: 1105.1471 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3482640
@@ Property / cites work: Q3482640 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3613976
@@ Property / cites work: Q3613976 / rank @@
+Normal rank
@@ Property / cites work @@
+The local theory for viscous Hamilton--Jacobi equations in Lebesgue spaces.
+Normal rank
@@ Property / cites work @@
+On the robustness of backward stochastic differential equations.
+Normal rank
@@ Property / cites work @@
+BSDE with quadratic growth and unbounded terminal value
+Normal rank
@@ Property / cites work @@
+Quadratic BSDEs with convex generators and unbounded terminal conditions
+Normal rank
@@ Property / cites work @@
+BS\(\Delta\)Es and BSDEs with non-Lipschitz drivers: comparison, convergence and robustness
+Normal rank
@@ Property / cites work @@
+Backward SDEs with superquadratic growth
@@ Property / cites work: Backward SDEs with superquadratic growth / rank @@
+Normal rank
@@ Property / cites work @@
+On the uniqueness of solutions to quadratic BSDEs with convex generators and unbounded terminal conditions
+Normal rank
@@ Property / cites work @@
+Representation of the penalty term of dynamic concave utilities
+Normal rank
@@ Property / cites work @@
+Backward Stochastic Differential Equations in Finance
+Normal rank
@@ Property / cites work @@
+The Cauchy problem for \(u_{t}=\Delta u+| \nabla u|^q\)
+Normal rank
@@ Property / cites work @@
+Continuous exponential martingales and BMO
@@ Property / cites work: Continuous exponential martingales and BMO / rank @@
+Normal rank
@@ Property / cites work @@
+Adapted solution of a backward stochastic differential equation
+Normal rank
@@ Property / cites work @@
+Monotonic limit theorem of BSDE and nonlinear decomposition theorem of Doob-Meyer's type
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:424485