Multidimensional quadratic BSDEs with separated generators

DOI10.1214/17-ECP87MaRDI QIDQ2411781zbMATH OpenOpenAlexFDO

Authors Asgar Jamneshan, Michael Kupper, Peng Luo

Publication date 25 October 2017

Published in Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1501.00461, https://projecteuclid.org/euclid.ecp/1508292096

zbMATH Keywords

BMO martingalesmultidimensional quadratic BSDEs

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Abstract: We consider multidimensional quadratic BSDEs with bounded and unbounded terminal conditions. We provide sufficient conditions which guarantee existence and uniqueness of solutions. In particular, these conditions are satisfied if the terminal condition or the dependence in the system are small enough.

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Cited in

(28)

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• A stability approach for solving multidimensional quadratic BSDEs
• Existence and uniqueness results for BSDE with jumps: the whole nine yards
• Multidimensional Markovian FBSDEs with super-quadratic growth
• Representation theorem for generators of quadratic BSDEs
• A characterization of solutions of quadratic BSDEs and a new approach to existence
• Backward propagation of chaos
• A type of globally solvable BSDEs with triangularly quadratic generators
• Locally Lipschitz BSDE driven by a continuous martingale a path-derivative approach
• Differentiability of quadratic BSDEs generated by continuous martingales
• Existence of global solutions for multi-dimensional coupled FBSDEs with diagonally quadratic generators
• Multidimensional quadratic and subquadratic BSDEs with special structure
• A multi-dimensional FBSDE with quadratic generator and its applications
• Existence and uniqueness result for multidimensional BSDEs with generators of Osgood type
• Splitting multidimensional BSDEs and finding local equilibria
• One dimensional BSDEs with logarithmic growth application to PDEs
• Contracting theory with competitive interacting agents
• A Boolean valued analysis approach to conditional risk
• Systems of ergodic BSDEs arising in regime switching forward performance processes
• Equilibrium Pricing Under Relative Performance Concerns
• Solvability of coupled FBSDEs with diagonally quadratic generators
• Multi-dimensional backward stochastic differential equations of diagonally quadratic generators
• Multi-dimensional backward stochastic differential equations of diagonally quadratic generators: the general result
• Existence and uniqueness of solutions for multi-dimensional reflected backward stochastic differential equations with diagonally quadratic generators
• On quadratic multidimensional type-I BSVIEs, infinite families of BSDEs and their applications
• Diagonally quadratic BSDE with oblique reflection and optimal switching
• Multi-dimensional backward stochastic differential equations of diagonally quadratic generators with a special structure
• Multi-dimensional non-Markovian backward stochastic differential equations of interactively quadratic generators

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