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

(27)

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• Systems of ergodic BSDEs arising in regime switching forward performance processes
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• Existence and uniqueness result for multidimensional BSDEs with generators of Osgood type
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• Diagonally quadratic BSDE with oblique reflection and optimal switching
• A characterization of solutions of quadratic BSDEs and a new approach to existence
• A multi-dimensional FBSDE with quadratic generator and its applications
• Representation theorem for generators of quadratic BSDEs
• A Boolean valued analysis approach to conditional risk
• Multidimensional quadratic and subquadratic BSDEs with special structure
• One dimensional BSDEs with logarithmic growth application to PDEs
• Differentiability of quadratic BSDEs generated by continuous martingales
• Equilibrium Pricing Under Relative Performance Concerns
• Multi-dimensional backward stochastic differential equations of diagonally quadratic generators with a special structure
• Existence of global solutions for multi-dimensional coupled FBSDEs with diagonally quadratic generators
• Solvability of coupled FBSDEs with diagonally quadratic generators
• A type of globally solvable BSDEs with triangularly quadratic generators
• On quadratic multidimensional type-I BSVIEs, infinite families of BSDEs and their applications

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