Second order backward stochastic differential equations with quadratic growth

DOI10.1016/j.spa.2013.05.007zbMath1292.60059arXiv1201.1050OpenAlexW2103033583MaRDI QIDQ2447731

Chao Zhou, Dylan Possamaï

Publication date: 28 April 2014

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1201.1050

zbMATH Keywords

quadratic growthBMO martingalesfully nonlinear PDEsFeynman-Kacsecond-order backward stochastic differential equationquasi-sure

Mathematics Subject Classification ID

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

Related Items (12)

Quadratic backward stochastic differential equations driven by \(G\)-Brownian motion: discrete solutions and approximation ⋮ Moral hazard under ambiguity ⋮ Second order reflected backward stochastic differential equations ⋮ Probabilistic interpretation for solutions of fully nonlinear stochastic pdes ⋮ Quadratic BSDEs with mean reflection driven by G-brownian motion ⋮ Representation of solutions to 2BSDEs in an extended monotonicity setting ⋮ Risk measures for processes and BSDEs ⋮ Stochastic control for a class of nonlinear kernels and applications ⋮ Reflected quadratic BSDEs driven by \(G\)-Brownian motions ⋮ A new existence result for second-order BSDEs with quadratic growth and their applications ⋮ Contract Theory in a VUCA World ⋮ Quadratic \(G\)-BSDEs with convex generators and unbounded terminal conditions

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