A stability approach for solving multidimensional quadratic BSDEs (Q1721997)

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Language	Label	Description	Also known as
English	A stability approach for solving multidimensional quadratic BSDEs	scientific article

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scholarly article

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A stability approach for solving multidimensional quadratic BSDEs (English)

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Jonathan Harter

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Electronic Journal of Probability

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publication date

14 February 2019

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full work available at URL

https://arxiv.org/abs/1606.08627

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https://projecteuclid.org/euclid.ejp/1549616425

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zbMATH Keywords

BSDEs

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quadratic BSDEs

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martingales

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MaRDI profile type

MaRDI publication profile

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

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Harmonic analysis of stochastic equations and backward stochastic differential equations

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Stochastic calculus in manifolds. With an appendix by P.A. Meyer

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Contracting Theory with Competitive Interacting Agents

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A financial market with interacting investors: does an equilibrium exist?

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Splitting multidimensional BSDEs and finding local equilibria

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Continuous exponential martingales and BMO

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Probability, Convexity, and Harmonic Maps with Small Image I: Uniqueness and Fine Existence

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Backward stochastic differential equations and partial differential equations with quadratic growth.

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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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Incomplete Stochastic Equilibria with Exponential Utilities Close to Pareto Optimality

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On the maximal inequalities of Burkholder, Davis and Gundy

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The Malliavin Calculus and Related Topics

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Barycenters and martingales on a manifold

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Adapted solution of a backward stochastic differential equation

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Solvability of backward stochastic differential equations with quadratic growth

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Identifiers

zbMATH Open document ID

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10.1214/18-EJP260

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:1721997

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