Backward stochastic differential equations and partial differential equations with quadratic growth.
From MaRDI portal
Publication:1872517
DOI10.1214/aop/1019160253zbMath1044.60045OpenAlexW1511896630MaRDI QIDQ1872517
Publication date: 6 May 2003
Published in: The Annals of Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aop/1019160253
comparison principlebackward stochastic differential equationsFeynman-Kac formulasemilinear partial differential equationsviscosity solutions
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) PDEs with randomness, stochastic partial differential equations (35R60)
Related Items
Comparison theorem for solutions of backward stochastic differential equations with continuous coefficient ⋮ Linear forward-backward stochastic differential equations with random coefficients ⋮ Quadratic backward stochastic differential equations driven by \(G\)-Brownian motion: discrete solutions and approximation ⋮ Solving high-dimensional Hamilton-Jacobi-Bellman PDEs using neural networks: perspectives from the theory of controlled diffusions and measures on path space ⋮ Utility indifference valuation for non-smooth payoffs with an application to power derivatives ⋮ Constrained LQ problem with a random jump and application to portfolio selection ⋮ Stochastic \(L^1\)-optimal control via forward and backward sampling ⋮ A system of quadratic BSDEs arising in a price impact model ⋮ On the stability theorem of \(L^{p}\) solutions for multidimensional BSDEs with uniform continuity generators in \(z\) ⋮ Valuation of power plants by utility indifference and numerical computation ⋮ Dual representation of minimal supersolutions of convex BSDEs ⋮ Portfolio optimization under entropic risk management ⋮ On measure solutions of backward stochastic differential equations ⋮ Harmonic analysis of stochastic equations and backward stochastic differential equations ⋮ Solutions of BSDE's with jumps and quadratic/locally Lipschitz generator ⋮ Infinite horizon optimal control problem for stochastic evolution equations in Hilbert spaces ⋮ Density analysis of BSDEs ⋮ Numerical approach to asset pricing models with stochastic differential utility ⋮ Large deviations for non-Markovian diffusions and a path-dependent Eikonal equation ⋮ Weak existence and uniqueness for forward-backward SDEs ⋮ Robust utility maximization for a diffusion market model with misspecified coefficients ⋮ BS\(\Delta\)Es and BSDEs with non-Lipschitz drivers: comparison, convergence and robustness ⋮ Infinite horizon optimal control problem of mean-field backward stochastic delay differential equation under partial information ⋮ Monotone stability of quadratic semimartingales with applications to unbounded general quadratic BSDEs ⋮ Strong approximations of BSDEs in a domain ⋮ A generalized existence theorem of backward doubly stochastic differential equations ⋮ Multidimensional BSDEs with weak monotonicity and general growth generators ⋮ Backward stochastic differential equations with a uniformly continuous generator and related \(g\)-expectation ⋮ A forward-backward SDE approach to affine models ⋮ On securitization, market completion and equilibrium risk transfer ⋮ A financial market with interacting investors: does an equilibrium exist? ⋮ Forward-backward systems for expected utility maximization ⋮ Splitting multidimensional BSDEs and finding local equilibria ⋮ Explicit solutions to quadratic BSDEs and applications to utility maximization in multivariate affine stochastic volatility models ⋮ Robust consumption-investment problems with random market coefficients ⋮ Quadratic reflected BSDEs with unbounded obstacles ⋮ A (rough) pathwise approach to a class of non-linear stochastic partial differential equations ⋮ BSDEs with diffusion constraint and viscous Hamilton-Jacobi equations with unbounded data ⋮ Necessary and sufficient conditions for near-optimal harvesting control problem of stochastic age-dependent system ⋮ On backward stochastic differential equations and strict local martingales ⋮ BSDEs in utility maximization with BMO market price of risk ⋮ Probabilistic representation of weak solutions of partial differential equations with polynomial growth coefficients ⋮ Optimal investment under multiple defaults risk: a BSDE-decomposition approach ⋮ \(L ^{p }\) theory for super-parabolic backward stochastic partial differential equations in the whole space ⋮ Backward stochastic differential equations with rough drivers ⋮ Markovian quadratic and superquadratic BSDEs with an unbounded terminal condition ⋮ Perfect hedging under endogenous permanent market impacts ⋮ An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior ⋮ Nonlinear fractional stochastic PDEs and BDSDEs with Hurst parameter in (1/2,1) ⋮ Pseudo linear pricing rule for utility indifference valuation ⋮ The obstacle problem of integro-partial differential equations with applications to stochastic optimal control/stopping problem ⋮ One kind of multiple dimensional Markovian BSDEs with stochastic linear growth generators ⋮ A stability approach for solving multidimensional quadratic BSDEs ⋮ Existence and uniqueness results for BSDE with jumps: the whole nine yards ⋮ Efficient consumption set under recursive utility and unknown beliefs. ⋮ Numerical simulation of BSDEs with drivers of quadratic growth ⋮ Backward stochastic differential equations with reflection and weak assumptions on the coefficients ⋮ Progressive enlargement of filtrations and backward stochastic differential equations with jumps ⋮ Quadratic BSDEs with convex generators and unbounded terminal conditions ⋮ 44th seminar on probability. Including papers from the `Journées de Probabilités', Dijon, France, June 2010 ⋮ Extending dynamic convex risk measures from discrete time to continuous time: a convergence approach ⋮ Multidimensional Markovian FBSDEs with super-quadratic growth ⋮ On weak solutions of forward-backward SDEs ⋮ Liquidity risk, price impacts and the replication problem ⋮ Risk measures for processes and BSDEs ⋮ BSDEs with polynomial growth generators in a defaultable market ⋮ Closedness results for BMO semi-martingales and application to quadratic BSDEs ⋮ Optimal consumption and investment with Epstein-Zin recursive utility ⋮ Consumption-investment optimization with Epstein-Zin utility in incomplete markets ⋮ Representation theorems for quadratic \(\mathcal F\)-consistent nonlinear expectations ⋮ Well-posedness and regularity of backward stochastic Volterra integral equations ⋮ Stochastic optimal control via forward and backward stochastic differential equations and importance sampling ⋮ A class of globally solvable Markovian quadratic BSDE systems and applications ⋮ Stochastic control for a class of nonlinear kernels and applications ⋮ Improved error bounds for quantization based numerical schemes for BSDE and nonlinear filtering ⋮ A convolution method for numerical solution of backward stochastic differential equations ⋮ On the uniqueness of solutions to quadratic BSDEs with convex generators and unbounded terminal conditions ⋮ Convex Hamilton-Jacobi equations under superlinear growth conditions on data ⋮ Sharp derivative bounds for solutions of degenerate semi-linear partial differential equations ⋮ Existence and uniqueness result for a backward stochastic differential equation whose generator is Lipschitz continuous in \(y\) and uniformly continuous in \(z\) ⋮ Backward doubly stochastic differential equations with weak assumptions on the coefficients ⋮ BDSDEs with locally monotone coefficients and Sobolev solutions for SPDEs ⋮ Generalized stochastic differential utility and preference for information ⋮ General existence results for reflected BSDE and BSDE ⋮ \(\mathbb L^p\) solutions of reflected BSDEs under monotonicity condition ⋮ Backward stochastic dynamics on a filtered probability space ⋮ Backward SDEs with superquadratic growth ⋮ Convexity bounds for BSDE solutions, with applications to indifference valuation ⋮ Representation theorem for generators of quadratic BSDEs ⋮ Backward stochastic differential equations with time delayed generators -- results and counterexamples ⋮ Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging ⋮ Completeness of security markets and backward stochastic differential equations with unbounded coefficients ⋮ Existence, uniqueness and stability of \(L^1\) solutions for multidimensional backward stochastic differential equations with generators of one-sided Osgood type ⋮ Backward SDEs driven by Gaussian processes ⋮ Probabilistic interpretation for a system of quasilinear parabolic partial differential equation combined with algebra equations ⋮ Backward stochastic differential equations with non-Lipschitz coefficients ⋮ Existence, uniqueness and stability of backward stochastic differential equations with locally monotone coefficient ⋮ On the uniqueness of solutions to quadratic BSDEs with non-convex generators and unbounded terminal conditions ⋮ On the uniqueness of solutions to quadratic BSDEs with convex generators and unbounded terminal conditions: the critical case ⋮ Numerical simulation of quadratic BSDEs ⋮ A characterization of solutions of quadratic BSDEs and a new approach to existence ⋮ Discontinuous backward doubly stochastic differential equations with Poisson jumps ⋮ Forests, cumulants, martingales ⋮ Solvability of some quadratic BSDEs without exponential moments ⋮ Viscous Hamilton-Jacobi equations in exponential Orlicz hearts ⋮ A class of quadratic forward-backward stochastic differential equations ⋮ A note on \(g\)-concave function ⋮ Optimal mean-variance investment-reinsurance strategy for a dependent risk model with Ornstein-Uhlenbeck process ⋮ Coupled FBSDEs with measurable coefficients and its application to parabolic PDEs ⋮ Weighted bounded mean oscillation applied to backward stochastic differential equations ⋮ Option prices under liquidity risk as weak solutions of semilinear diffusion equations ⋮ Characterization of fully coupled FBSDE in terms of portfolio optimization ⋮ A Monte Carlo method for backward stochastic differential equations with Hermite martingales ⋮ A nonlinear Bismut-Elworthy formula for HJB equations with quadratic Hamiltonian in Banach spaces ⋮ Convex pricing by a generalized entropy penalty ⋮ Risk aversion asymptotics for power utility maximization ⋮ A generalized comparison theorem for BSDEs and its applications ⋮ A comparison theorem and uniqueness theorem of backward doubly stochastic differential equations ⋮ A type of globally solvable BSDEs with triangularly quadratic generators ⋮ Functional inequalities for forward and backward diffusions ⋮ BSDE with quadratic growth and unbounded terminal value ⋮ Cone-constrained continuous-time Markowitz problems ⋮ Minimal supersolutions of convex BSDEs ⋮ Variational approach for the adapted solution of the general backward stochastic differential equations under the Bihari condition ⋮ Anticipated backward stochastic differential equations with quadratic growth ⋮ Mean-variance hedging on uncertain time horizon in a market with a jump ⋮ Continuous-time mean-variance portfolio selection with random horizon ⋮ SPDEs with polynomial growth coefficients and the Malliavin calculus method ⋮ A simple constructive approach to quadratic BSDEs with or without delay ⋮ BSDE with jumps and non-Lipschitz coefficients: application to large deviations ⋮ Minimal supersolutions of BSDEs with lower semicontinuous generators ⋮ BSDEs with terminal conditions that have bounded Malliavin derivative ⋮ The Skorokhod embedding problem for inhomogeneous diffusions ⋮ BSDEs driven by \(G\)-Brownian motion with non-Lipschitz coefficients ⋮ On convergence to the exponential utility problem ⋮ Optimal mean-variance reinsurance in a financial market with stochastic rate of return ⋮ Locally Lipschitz BSDE driven by a continuous martingale a path-derivative approach ⋮ Approximation of BSDEs with super-linearly growing generators by Euler's polygonal line method: a simple proof of the existence ⋮ Forward-backward SDEs and the CIR model ⋮ Risk-sensitive nonzero-sum stochastic differential game with unbounded coefficients ⋮ Characterization of the value process in robust efficient hedging ⋮ Martingale driven BSDEs, PDEs and other related deterministic problems ⋮ Solvability of backward stochastic differential equations with quadratic growth ⋮ Reflected quadratic BSDEs driven by \(G\)-Brownian motions ⋮ Backward stochastic partial differential equations with quadratic growth ⋮ Solving backward stochastic differential equations with quadratic-growth drivers by connecting the short-term expansions ⋮ Backward stochastic differential equations associated with the vorticity equations ⋮ Properties of solutions of BSDEs with integrable parameters ⋮ Quadratic BSDEs with mean reflection ⋮ Recursive utility optimization with concave coefficients ⋮ Backward stochastic partial differential equations related to utility maximization and hedging ⋮ Besides with stochastic Lipschitz condition and quadratic PDEs in Hilbert spaces ⋮ The use of BSDEs to characterize the mean-variance hedging problem and the variance optimal martingale measure for defaultable claims ⋮ Anticipated backward stochastic differential equations with left-Lipschitz coefficient ⋮ Backward stochastic differential equations with two reflecting barriers and continuous with quadratic growth coefficient ⋮ Nonlinear Feynman-Kac formula and discrete-functional-type BSDEs with continuous coeffi\-cients ⋮ Existence and uniqueness of solutions to a quasilinear parabolic equation with quadratic gradients in financial markets ⋮ Completeness of security markets and solvability of linear backward stochastic differential equations ⋮ Path regularity and explicit convergence rate for BSDE with truncated quadratic growth ⋮ Stationary solutions of SPDEs and infinite horizon BDSDEs with non-Lipschitz coefficients ⋮ Backward stochastic Volterra integral equations and some related problems ⋮ Liquidity risk and the term structure of interest rates ⋮ A Bismut-Elworthy formula for quadratic BSDEs ⋮ Quadratic BSDEs driven by a continuous martingale and applications to the utility maximization problem ⋮ Nash equilibrium point for one kind of stochastic nonzero-sum game problem and BSDEs ⋮ A note on FBSDE characterization of mean exit times ⋮ A non-linear parabolic PDE with a distributional coefficient and its applications to stochastic analysis ⋮ Existence of the solutions of backward-forward SDE's with continuous monotone coefficients ⋮ Backward stochastic differential equations with two distinct reflecting barriers and quadratic growth generator ⋮ Backward stochastic differential equations on manifolds. II ⋮ Backward stochastic Volterra integral equations -- representation of adapted solutions ⋮ Stochastic differential games: a sampling approach via FBSDEs ⋮ Comparison theorem for diagonally quadratic BSDEs ⋮ Backward stochastic differential equations driven by \(G\)-Brownian motion with uniformly continuous generators ⋮ The term structure of Sharpe ratios and arbitrage-free asset pricing in continuous time ⋮ Forward-backward stochastic differential equation with subdifferential operator and associated variational inequality ⋮ A study of backward stochastic differential equation on a Riemannian manifold ⋮ The convergence rate from discrete to continuous optimal investment stopping problem ⋮ Recursive utility processes, dynamic risk measures and quadratic backward stochastic Volterra integral equations ⋮ The Cauchy problem of backward stochastic super-parabolic equations with quadratic growth ⋮ \(L^p\) solutions for multidimensional BDSDEs with locally weak monotonicity coefficients ⋮ Strong solutions of forward-backward stochastic differential equations with measurable coefficients ⋮ Quadratic \(G\)-BSDEs with convex generators and unbounded terminal conditions ⋮ Solvability of a class of mean-field BSDEs with quadratic growth ⋮ Risk-sensitive credit portfolio optimization under partial information and contagion risk ⋮ A BSDE approach to a class of dependent risk model of mean-variance insurers with stochastic volatility and no-short selling ⋮ Radner equilibrium and systems of quadratic BSDEs with discontinuous generators ⋮ Viscosity solutions of general viscous Hamilton-Jacobi equations ⋮ Quadratic mean-field reflected BSDEs ⋮ Stochastic quadratic BSDE with two RCLL obstacles ⋮ Quadratic \(g\)-convexity, \(C\)-convexity and their relationships ⋮ Dynamic optimal mean-variance portfolio selection with stochastic volatility and stochastic interest rate ⋮ Well-posedness of mean reflected BSDEs with non-Lipschitz coefficients ⋮ Optimal investment-reinsurance strategy for mean-variance insurers with square-root factor process ⋮ On well-posedness of forward-backward SDEs -- a unified approach ⋮ \(L^p\)-solutions and comparison results for Lévy-driven backward stochastic differential equations in a monotonic, general growth setting ⋮ Backward stochastic differential equations driven by \(G\)-Brownian motion with uniformly continuous coefficients in \((y, z)\) ⋮ Feynman-Kac representation of fully nonlinear PDEs and applications ⋮ Constrained stochastic LQ control with regime switching and application to portfolio selection ⋮ BMO martingales and positive solutions of heat equations ⋮ Solution of the HJB Equations Involved in Utility-Based Pricing ⋮ On the Monotone Stability Approach to BSDEs with Jumps: Extensions, Concrete Criteria and Examples ⋮ On the Uniqueness of Solutions to Quadratic BSDEs with Non-convex Generators ⋮ Incomplete Stochastic Equilibria with Exponential Utilities Close to Pareto Optimality ⋮ OPTIMAL CONSUMPTION AND INVESTMENT IN INCOMPLETE MARKETS WITH GENERAL CONSTRAINTS ⋮ A representation for filtration-consistent nonlinear expectations and its application ⋮ Hedging with Residual Risk: A BSDE Approach ⋮ Dynamic programming principle and associated Hamilton-Jacobi-Bellman equation for stochastic recursive control problem with non-Lipschitz aggregator ⋮ Stochastic representation of weak solutions of viscous conservation laws: a BSDE approach ⋮ Some results on general quadratic reflected BSDEs driven by a continuous martingale ⋮ Unnamed Item ⋮ A new existence result for quadratic BSDEs with jumps with application to the utility maximization problem ⋮ Solvability Conditions for Indefinite Linear Quadratic Optimal Stochastic Control Problems and Associated Stochastic Riccati Equations ⋮ Utility maximization underg*-expectation ⋮ Successive approximation of infinite dimensional semilinear backward stochastic evolution equations with jumps ⋮ REPRESENTATION OF BSDE-BASED DYNAMIC RISK MEASURES AND DYNAMIC CAPITAL ALLOCATIONS ⋮ Mean-Variance Hedging Under Multiple Defaults Risk ⋮ ON A NEW PARADIGM OF OPTIMAL REINSURANCE: A STOCHASTIC STACKELBERG DIFFERENTIAL GAME BETWEEN AN INSURER AND A REINSURER ⋮ Lp (1 < p < 2) solutions of backward doubly stochastic differential equations with locally monotone coefficients ⋮ A BSDE approach for bond pricing under interest rate models with self-exciting jumps ⋮ A Probabilistic Method for a Class of Non-Lipschitz BSDEs with Application to Fund Management ⋮ Backward Stackelberg Differential Game with Constraints: A Mixed Terminal-Perturbation and Linear-Quadratic Approach ⋮ Nonexponential Sanov and Schilder theorems on Wiener space: BSDEs, Schrödinger problems and control ⋮ Existence and Uniqueness for Non-Markovian Triangular Quadratic BSDEs ⋮ A Global Stochastic Maximum Principle for Forward-Backward Stochastic Control Systems with Quadratic Generators ⋮ Density estimates for the solutions of backward stochastic differential equations driven by Gaussian processes ⋮ Malliavin calculus used to derive a stochastic maximum principle for system driven by fractional Brownian and standard Wiener motions with application ⋮ On the backward stochastic differential equation with generator \(f(y)|z|^2\) ⋮ Quadratic reflected BSDEs and related obstacle problems for PDEs ⋮ Robust utility maximization with extremely ambiguity-loving and ambiguity-aversion preferences ⋮ Lp solutions of anticipated BSDEs with weak monotonicity and general growth generators ⋮ Quadratic BSDEs with jumps and related PIDEs ⋮ Principal-Agent Problem with Common Agency Without Communication ⋮ Optimal Control of Diffusion Coefficients via Decoupling Fields ⋮ Local existence and uniqueness of solutions to quadratic BSDEs with weak monotonicity and general growth generators ⋮ Quantitative stability and numerical analysis of Markovian quadratic BSDEs with reflection ⋮ General time interval BSDEs under the weak monotonicity condition and nonlinear decomposition for general g-supermartingales ⋮ One dimensional BSDEs with logarithmic growth application to PDEs ⋮ Robust time-inconsistent stochastic linear-quadratic control with drift disturbance ⋮ Connection between MP and DPP for Stochastic Recursive Optimal Control Problems: Viscosity Solution Framework in the General Case ⋮ Minimal supersolutions of convex BSDEs under constraints ⋮ DIFFERENTIABILITY OF BSVIEs AND DYNAMIC CAPITAL ALLOCATIONS ⋮ Existence, uniqueness and comparison theorem on unbounded solutions of scalar super-linear BSDEs ⋮ MINIMAL AND MAXIMAL BOUNDED SOLUTIONS FOR QUADRATIC BSDES WITH STOCHASTIC CONDITIONS ⋮ Mean-variance asset-liability management under CIR interest rate and the family of 4/2 stochastic volatility models with derivative trading ⋮ Optimal investment strategies for asset-liability management with affine diffusion factor processes and HARA preferences ⋮ Stochastic zero-sum differential games and backward stochastic differential equations ⋮ A BSDE APPROACH TO THE SKOROKHOD EMBEDDING PROBLEM FOR THE BROWNIAN MOTION WITH DRIFT ⋮ Ong−evaluations with domains under jump filtration ⋮ Optimal consumption-investment under partial information in conditionally log-Gaussian models ⋮ Systems of Ergodic BSDEs Arising in Regime Switching Forward Performance Processes ⋮ Risk Measures and Progressive Enlargement of Filtration: A BSDE Approach ⋮ Backward stochastic differential equations with unbounded generators ⋮ Fully-Dynamic Risk-Indifference Pricing and No-Good-Deal Bounds ⋮ Contracting Theory with Competitive Interacting Agents ⋮ MUTUAL FUND PORTFOLIO CHOICE IN THE PRESENCE OF DYNAMIC FLOWS ⋮ PRICING AND HEDGING OF DERIVATIVES BASED ON NONTRADABLE UNDERLYINGS ⋮ Unnamed Item ⋮ Forward-backward SDEs with discontinuous coefficients ⋮ Decoupling on the Wiener Space, Related Besov Spaces, and Applications to BSDEs ⋮ QUADRATIC FBSDE WITH GENERALIZED BURGERS' TYPE NONLINEARITIES, PERTURBATIONS AND LARGE DEVIATIONS ⋮ On Quadraticg-Evaluations/Expectations and Related Analysis ⋮ LpSolutions of One-Dimensional Backward Stochastic Differential Equations with Continuous Coefficients ⋮ Probabilistic methods for semilinear partial differential equations. Applications to finance ⋮ Optimal hedging for fund and insurance managers with partially observable investment flows ⋮ Optimal control problem for stochastic evolution equations in Hilbert spaces ⋮ Bounded solutions for general time interval BSDEs with quadratic growth coefficients and stochastic conditions ⋮ A Multidimensional Exponential Utility Indifference Pricing Model with Applications to Counterparty Risk ⋮ Utility maximization in a jump market model ⋮ CREDIT RISK PREMIA AND QUADRATIC BSDEs WITH A SINGLE JUMP ⋮ A new existence result for second-order BSDEs with quadratic growth and their applications ⋮ Multidimensional quadratic and subquadratic BSDEs with special structure ⋮ An Approximation Scheme for Semilinear Parabolic PDEs with Convex and Coercive Hamiltonians ⋮ Weak solutions for forward-backward SDEs-a martingale problem approach ⋮ Exponential utility maximization for an insurer with time-inconsistent preferences ⋮ Anticipated Backward Stochastic Differential Equation with Reflection ⋮ Stability and Analytic Expansions of Local Solutions of Systems of Quadratic BSDEs with Applications to a Price Impact Model ⋮ Parabolic Equations with Quadratic Growth in $$\mathbb {R}^{n}$$ ⋮ Portfolio Optimization with Stochastic Volatilities: A Backward Approach ⋮ SOLVABILITY AND NUMERICAL SIMULATION OF BSDEs RELATED TO BSPDEs WITH APPLICATIONS TO UTILITY MAXIMIZATION ⋮ Variational approach to rare event simulation using least-squares regression ⋮ On a Class of Quadratic Growth RBSDE with Jumps and Its Application ⋮ Forward-Backward Stochastic Differential Equations Generated by Bernstein Diffusions ⋮ CASH SUBADDITIVE RISK MEASURES AND INTEREST RATE AMBIGUITY ⋮ Numerical Method for Reflected Backward Stochastic Differential Equations ⋮ Unnamed Item ⋮ Making mean-variance hedging implementable in a partially observable market ⋮ FROM SMILE ASYMPTOTICS TO MARKET RISK MEASURES ⋮ Utility maximization in incomplete markets ⋮ Dynamic exponential utility indifference valuation ⋮ BSDEs and risk-sensitive control, zero-sum and nonzero-sum game problems of stochastic functional differential equations. ⋮ Optimal lifetime consumption-portfolio strategies under trading constraints and generalized recursive preferences. ⋮ A class of stochastic optimal control problems in Hilbert spaces: BSDEs and optimal control laws, state constraints, conditioned processes. ⋮ A probabilistic representation of the solution of some quasi-linear PDE with a divergence form operator. Application to existence of weak solutions of FBSDE. ⋮ AN ERGODIC BSDE RISK REPRESENTATION IN A JUMP-DIFFUSION FRAMEWORK ⋮ A NOTE ON COMONOTONICITY AND POSITIVITY OF THE CONTROL COMPONENTS OF DECOUPLED QUADRATIC FBSDE ⋮ Constrained stochastic LQ control on infinite time horizon with regime switching ⋮ Approximation of BSDE with non Lipschitz coefficient ⋮ Lpsolutions of finite and infinite time interval BSDEs with non-Lipschitz coefficients ⋮ Limit theorems for BSDE with local time applications to non-linear PDE ⋮ Representation of Homothetic Forward Performance Processes in Stochastic Factor Models via Ergodic and Infinite Horizon BSDE ⋮ Equilibrium Pricing Under Relative Performance Concerns ⋮ TheS-Related Dynamic Convex Valuation in the Brownian Motion Setting ⋮ A PDE representation of the density of the minimal entropy martingale measure in stochastic volatility markets ⋮ Sobolev space weak solutions to one kind of quasilinear parabolic partial differential equations related to forward-backward stochastic differential equations ⋮ The reverse Hölder inequality for matrix-valued stochastic exponentials and applications to quadratic BSDE systems ⋮ Overcoming the timescale barrier in molecular dynamics: Transfer operators, variational principles and machine learning ⋮ On the uniqueness result for the BSDE with deterministic coefficient ⋮ Stochastic linear-quadratic control with a jump and regime switching on a random horizon ⋮ Quadratic BSDEs with mean reflection driven by G-brownian motion ⋮ Optimal consumption and portfolio selection with Epstein-Zin utility under general constraints ⋮ Optimal DC pension investment with square-root factor processes under stochastic income and inflation risks ⋮ Utility maximization in a stochastic affine interest rate and CIR risk premium framework: a BSDE approach ⋮ Multi-dimensional backward stochastic differential equations of diagonally quadratic generators: the general result ⋮ On quadratic multidimensional type-I BSVIEs, infinite families of BSDEs and their applications ⋮ RBDSDEs with jumps and optional Barrier and mean field game with common noise ⋮ On quasilinear parabolic systems and FBSDEs of quadratic growth ⋮ Epstein‐Zin utility maximization on a random horizon ⋮ Invariant representation for generators of general time interval quadratic BSDEs under stochastic growth conditions ⋮ Robust optimal asset-liability management with mispricing and stochastic factor market dynamics ⋮ Numerical methods for backward stochastic differential equations: a survey ⋮ Mean-field type quadratic BSDEs ⋮ On path-dependent multidimensional forward-backward SDEs ⋮ Lp solutions of general time interval BSDEs with generators satisfying a p-order weak stochastic-monotonicity condition ⋮ \( L^1\) solution to scalar BSDEs with logarithmic sub-linear growth generators ⋮ Backward stochastic evolution inclusions in UMD Banach spaces ⋮ Solvability of coupled FBSDEs with diagonally quadratic generators ⋮ Sequential propagation of chaos for mean-field BSDE systems ⋮ On Z-mean reflected BSDEs ⋮ General mean reflected backward stochastic differential equations ⋮ Anticipated backward SDEs with jumps and quadratic-exponential growth drivers ⋮ Reflected backward stochastic differential equations and a class of non-linear dynamic pricing rule ⋮ Convergence results for the indifference value based on the stability of BSDEs ⋮ Optimal Investment Under Information Driven Contagious Distress ⋮ Backward SDEs for control with partial information ⋮ The valuation of clean spread options: linking electricity, emissions and fuels ⋮ An interpolated stochastic algorithm for quasi-linear PDEs ⋮ Entropic Conditions and Hedging ⋮ Multi-dimensional backward stochastic differential equations of diagonally quadratic generators ⋮ OPTIMALITY AND STATE PRICING IN CONSTRAINED FINANCIAL MARKETS WITH RECURSIVE UTILITY UNDER CONTINUOUS AND DISCONTINUOUS INFORMATION ⋮ PARTIAL EQUILIBRIUM AND MARKET COMPLETION ⋮ Lp (p ≥ 1) solutions of multidimensional BSDEs with monotone generators in general time intervals ⋮ Robust Portfolio Choice and Indifference Valuation ⋮ Dynamic Programming for General Linear Quadratic Optimal Stochastic Control with Random Coefficients ⋮ Numerical Stability Analysis of the Euler Scheme for BSDEs ⋮ A Fourier Cosine Method for an Efficient Computation of Solutions to BSDEs ⋮ Explicit Solutions of Quadratic FBSDEs Arising From Quadratic Term Structure Models ⋮ Mean-field backward stochastic differential equations driven by G-Brownian motion with uniformly continuous coefficients
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Adapted solution of a backward stochastic differential equation
- Backward stochastic differential equations with continuous coefficient
- Uniqueness and the maximum principle for quasilinear elliptic equations with quadratic growth conditions
- Backward stochastic differential equations and integral-partial differential equations
- Existence results for some quasilinear parabolic equations
- Viscosity Solutions of Hamilton-Jacobi Equations
- User’s guide to viscosity solutions of second order partial differential equations
- On the principal eigenvalue of second-order elliptic differential operators
- Backward Stochastic Differential Equations in Finance