A simple constructive approach to quadratic BSDEs with or without delay
From MaRDI portal
Publication:2447694
DOI10.1016/j.spa.2013.02.013zbMath1294.60092OpenAlexW2170111369MaRDI QIDQ2447694
Publication date: 28 April 2014
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spa.2013.02.013
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic calculus of variations and the Malliavin calculus (60H07)
Related Items (43)
A characterization of solutions of quadratic BSDEs and a new approach to existence ⋮ Quadratic backward stochastic differential equations driven by \(G\)-Brownian motion: discrete solutions and approximation ⋮ On the Uniqueness of Solutions to Quadratic BSDEs with Non-convex Generators ⋮ Incomplete Stochastic Equilibria with Exponential Utilities Close to Pareto Optimality ⋮ Backward propagation of chaos ⋮ Some results on general quadratic reflected BSDEs driven by a continuous martingale ⋮ Unnamed Item ⋮ Coupled FBSDEs with measurable coefficients and its application to parabolic PDEs ⋮ A Probabilistic Method for a Class of Non-Lipschitz BSDEs with Application to Fund Management ⋮ Existence and Uniqueness for Non-Markovian Triangular Quadratic BSDEs ⋮ On the backward stochastic differential equation with generator \(f(y)|z|^2\) ⋮ Weighted bounded mean oscillation applied to backward stochastic differential equations ⋮ Characterization of fully coupled FBSDE in terms of portfolio optimization ⋮ The reverse Hölder inequality for matrix-valued stochastic exponentials and applications to quadratic BSDE systems ⋮ Splitting multidimensional BSDEs and finding local equilibria ⋮ On the uniqueness result for the BSDE with deterministic coefficient ⋮ Multi-dimensional backward stochastic differential equations of diagonally quadratic generators: the general result ⋮ Existence, uniqueness and comparison theorem on unbounded solutions of scalar super-linear BSDEs ⋮ MINIMAL AND MAXIMAL BOUNDED SOLUTIONS FOR QUADRATIC BSDES WITH STOCHASTIC CONDITIONS ⋮ General mean reflected backward stochastic differential equations ⋮ A type of globally solvable BSDEs with triangularly quadratic generators ⋮ Pseudo linear pricing rule for utility indifference valuation ⋮ Systems of Ergodic BSDEs Arising in Regime Switching Forward Performance Processes ⋮ Second order backward stochastic differential equations with quadratic growth ⋮ Reflected and doubly reflected backward stochastic differential equations with time-delayed generators ⋮ A stability approach for solving multidimensional quadratic BSDEs ⋮ Existence and uniqueness results for BSDE with jumps: the whole nine yards ⋮ BSDEs with terminal conditions that have bounded Malliavin derivative ⋮ Locally Lipschitz BSDE driven by a continuous martingale a path-derivative approach ⋮ A class of globally solvable Markovian quadratic BSDE systems and applications ⋮ Decoupling on the Wiener Space, Related Besov Spaces, and Applications to BSDEs ⋮ Reflected quadratic BSDEs driven by \(G\)-Brownian motions ⋮ Quadratic BSDEs with mean reflection ⋮ Equilibrium asset pricing with transaction costs ⋮ Bounded solutions for general time interval BSDEs with quadratic growth coefficients and stochastic conditions ⋮ 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 ⋮ An incomplete equilibrium with a stochastic annuity ⋮ Quadratic \(G\)-BSDEs with convex generators and unbounded terminal conditions ⋮ Quadratic mean-field reflected BSDEs ⋮ Quadratic \(g\)-convexity, \(C\)-convexity and their relationships ⋮ On the uniqueness of solutions to quadratic BSDEs with convex generators and unbounded terminal conditions: the critical case ⋮ Numerical simulation of quadratic BSDEs
Cites Work
- Monotone stability of quadratic semimartingales with applications to unbounded general quadratic BSDEs
- A note on the existence of solutions to Markovian superquadratic BSDEs with an unbounded terminal condition
- Existence, minimality and approximation of solutions to BSDEs with convex drivers
- Markovian quadratic and superquadratic BSDEs with an unbounded terminal condition
- On the uniqueness of solutions to quadratic BSDEs with convex generators and unbounded terminal conditions
- Adapted solution of a backward stochastic differential equation
- Backward SDEs with superquadratic growth
- Quadratic BSDEs with convex generators and unbounded terminal conditions
- Backward stochastic differential equations with time delayed generators -- results and counterexamples
- Continuous exponential martingales and BMO
- Backward stochastic differential equations and partial differential equations with quadratic growth.
- BSDEs with terminal conditions that have bounded Malliavin derivative
- Classical and variational differentiability of BSDEs with quadratic growth
- Solvability of backward stochastic differential equations with quadratic growth
- Besides with stochastic Lipschitz condition and quadratic PDEs in Hilbert spaces
- Utility maximization in incomplete markets
- The Malliavin Calculus and Related Topics
- Backward Stochastic Differential Equations in Finance
This page was built for publication: A simple constructive approach to quadratic BSDEs with or without delay
