Systems of Ergodic BSDEs Arising in Regime Switching Forward Performance Processes (Q5130922): Difference between revisions

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+Q114074269
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+.01816
@@ Property / arXiv ID: 1807.01816 / rank @@
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+Backward stochastic differential equations and integral-partial differential equations
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+Monotone stability of quadratic semimartingales with applications to unbounded general quadratic BSDEs
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+Utility–indifference hedging and valuation via reaction–diffusion systems
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+Stability of BSDEs with random terminal time and homogenization of semilinear elliptic PDEs
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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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+Multidimensional quadratic and subquadratic BSDEs with special structure
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+Backward Stochastic Differential Equations in Finance
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+Utility maximization in incomplete markets
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+A Probabilistic Approach to Large Time Behavior of Mild Solutions of HJB Equations in Infinite Dimension
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+On the comparison theorem for multidimensional BSDEs
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+Multi-dimensional backward stochastic differential equations of diagonally quadratic generators
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+Multidimensional quadratic BSDEs with separated generators
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+Dynamically consistent investment under model uncertainty: the robust forward criteria
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+Backward stochastic differential equations and partial differential equations with quadratic growth.
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+A system of quadratic BSDEs arising in a price impact model
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+Stability and Analytic Expansions of Local Solutions of Systems of Quadratic BSDEs with Applications to a Price Impact Model
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+Representation of Homothetic Forward Performance Processes in Stochastic Factor Models via Ergodic and Infinite Horizon BSDE
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+Quadratic BSDEs driven by a continuous martingale and applications to the utility maximization problem
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+Q5506195
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+Optimal Asset Allocation under Forward Exponential Performance Criteria
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+Asymptotic Analysis of Forward Performance Processes in Incomplete Markets and Their Ill-Posed HJB Equations
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+A dual characterization of self-generation and exponential forward performances
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