Second order backward stochastic differential equations with quadratic growth
From MaRDI portal
Publication:2447731
Abstract: We extend the wellposedness results for second order backward stochastic differential equations introduced by Soner, Touzi and Zhang cite{stz} to the case of a bounded terminal condition and a generator with quadratic growth in the variable. More precisely, we obtain uniqueness through a representation of the solution inspired by stochastic control theory, and we obtain two existence results using two different methods. In particular, we obtain the existence of the simplest purely quadratic 2BSDEs through the classical exponential change, which allows us to introduce a quasi-sure version of the entropic risk measure. As an application, we also study robust risk-sensitive control problems. Finally, we prove a Feynman-Kac formula and a probabilistic representation for fully nonlinear PDEs in this setting.
Recommendations
- A new existence result for second-order BSDEs with quadratic growth and their applications
- Backward stochastic differential equations and partial differential equations with quadratic growth.
- Wellposedness of second order backward SDEs
- Backward stochastic differential equations with a convex generator
- A Bismut-Elworthy formula for quadratic BSDEs
Cites work
- A complete representation theorem for G-martingales
- A simple constructive approach to quadratic BSDEs with or without delay
- A theoretical framework for the pricing of contingent claims in the presence of model uncertainty
- Adapted solution of a backward stochastic differential equation
- BSDE with quadratic growth and unbounded terminal value
- BSDEs and applications
- Conjugate convex functions in optimal stochastic control
- Continuous exponential martingales and BMO
- Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
- Dual formulation of second order target problems
- Function spaces and capacity related to a sublinear expectation: application to \(G\)-Brownian motion paths
- scientific article; zbMATH DE number 3664138 (Why is no real title available?)
- scientific article; zbMATH DE number 140601 (Why is no real title available?)
- scientific article; zbMATH DE number 1066313 (Why is no real title available?)
- Martingale representation theorem for the \(G\)-expectation
- On pathwise stochastic integration
- On quadratic g-evaluations/expectations and related analysis
- Pathwise construction of stochastic integrals
- Pricing, hedging, and designing derivatives with risk measures
- Quadratic BSDEs with convex generators and unbounded terminal conditions
- Quasi-sure stochastic analysis through aggregation
- Risk-sensitive control and an optimal investment model.
- Risk-sensitive control and an optimal investment model. II.
- Risk-sensitive dynamic asset management
- Second-order backward stochastic differential equations and fully nonlinear parabolic PDEs
- Second-order backward stochastic differential equations under a monotonicity condition
- Solvability of backward stochastic differential equations with quadratic growth
- User’s guide to viscosity solutions of second order partial differential equations
- Weak dynamic programming principle for viscosity solutions
- Wellposedness of second order backward SDEs
Cited in
(22)- Quadratic backward stochastic differential equations driven by \(G\)-Brownian motion: discrete solutions and approximation
- Moral hazard under ambiguity
- Stochastic control for a class of nonlinear kernels and applications
- Backward stochastic differential equations and partial differential equations with quadratic growth.
- Second-order backward stochastic differential equations under a monotonicity condition
- Reflected quadratic BSDEs driven by \(G\)-Brownian motions
- Quadratic \(G\)-BSDEs with convex generators and unbounded terminal conditions
- Second order backward SDE with random terminal time
- Representation of solutions to 2BSDEs in an extended monotonicity setting
- Probabilistic interpretation for solutions of fully nonlinear stochastic pdes
- Solvability of backward stochastic differential equations with quadratic growth
- A new existence result for second-order BSDEs with quadratic growth and their applications
- Second order reflected backward stochastic differential equations
- Wellposedness of second order backward SDEs
- Risk measures for processes and BSDEs
- Contract theory in a VUCA world
- Quadratic BSDEs with mean reflection driven by G-brownian motion
- \(G\)-forward performance process and representation of homothetic case via ergodic quadratic \(G\)-BSDE
- Representation of solutions to quadratic 2BSDEs with unbounded terminal values
- Doubly reflected backward stochastic differential equations driven by G-Brownian motion with uniformly continuous coefficients
- Multi-dimensional G-backward stochastic differential equations with random horizon
- Infinite horizon quadratic backward stochastic differential equations driven by G-Brownian motion
This page was built for publication: Second order backward stochastic differential equations with quadratic growth
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2447731)
