Quadratic BSDEs with mean reflection

DOI10.3934/mcrf.2018031zbMath1419.60043arXiv1705.09852MaRDI QIDQ2001551

Falei Wang, Ying Hu, Hélène Hibon, Peng Luo, Yi-Qing Lin

Publication date: 3 July 2019

Published in: Mathematical Control and Related Fields (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1705.09852

zbMATH Keywords

BMO martingales; BSDEs; mean reflection; quadratic generators

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

60H30: Applications of stochastic analysis (to PDEs, etc.)

Related Items

Solvability of a class of mean-field BSDEs with quadratic growth, Forward and backward stochastic differential equations with normal constraints in law, Transportation cost inequality for backward stochastic differential equations with mean reflection

Cites Work

• Unnamed Item
• Monotone stability of quadratic semimartingales with applications to unbounded general quadratic BSDEs
• Adapted solution of a backward stochastic differential equation
• Reflected BSDE with a constraint and its applications in an incomplete market
• A note on existence and uniqueness for solutions of multidimensional reflected BSDEs
• Backward stochastic differential equations with reflection and Dynkin games
• Quadratic BSDEs with convex generators and unbounded terminal conditions
• Switching problem and related system of reflected backward SDEs
• Backward stochastic differential equations with constraints on the gains-process
• Continuous exponential martingales and BMO
• Reflected solutions of backward SDE's, and related obstacle problems for PDE's
• A stability approach for solving multidimensional quadratic BSDEs
• A class of globally solvable Markovian quadratic BSDE systems and applications
• BSDEs with mean reflection
• Backward stochastic differential equations and partial differential equations with quadratic growth.
• A financial market with interacting investors: does an equilibrium exist?
• Quadratic BSDEs driven by a continuous martingale and applications to the utility maximization problem
• BSDEs with weak terminal condition
• Multi-dimensional BSDE with oblique reflection and optimal switching
• BSDE with quadratic growth and unbounded terminal value
• A simple constructive approach to quadratic BSDEs with or without delay
• BSDEs with terminal conditions that have bounded Malliavin derivative
• Classical and variational differentiability of BSDEs with quadratic growth
• Solvability of backward stochastic differential equations with quadratic growth
• Besides with stochastic Lipschitz condition and quadratic PDEs in Hilbert spaces
• Utility maximization in incomplete markets
• Particles systems and numerical schemes for mean reflected stochastic differential equations
• Pricing of American Contingent Claims with Jump Stock Price and Constrained Portfolios
• Multidimensional quadratic and subquadratic BSDEs with special structure
• The Malliavin Calculus and Related Topics
• Backward Stochastic Differential Equations in Finance
• Hedging contingent claims for a large investor in an incomplete market
• On the Starting and Stopping Problem: Application in Reversible Investments
• Multi-dimensional backward stochastic differential equations of diagonally quadratic generators