A class of globally solvable Markovian quadratic BSDE systems and applications

DOI10.1214/17-AOP1190zbMath1390.60224arXiv1603.00217MaRDI QIDQ1747757

Hao Xing, Gordan Žitković

Publication date: 27 April 2018

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1603.00217

zbMATH Keywords

backward stochastic differential equationsstochastic equilibriumquadratic nonlinearitiesnonzero-sum stochastic gamesmartingales on manifoldssystems of BSDE

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Stochastic games, stochastic differential games (91A15) Diffusion processes and stochastic analysis on manifolds (58J65) Dynamic stochastic general equilibrium theory (91B51)

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