A new existence result for second-order BSDEs with quadratic growth and their applications
From MaRDI portal
Publication:2803415
DOI10.1080/17442508.2015.1044531zbMath1337.60126arXiv1301.0457OpenAlexW3123681208MaRDI QIDQ2803415
Publication date: 4 May 2016
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1301.0457
backward stochastic differential equationsquadratic growthrobust utility maximizationnonlinear evaluations
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Utility theory (91B16) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80)
Related Items (3)
Quadratic backward stochastic differential equations driven by \(G\)-Brownian motion: discrete solutions and approximation ⋮ Probabilistic interpretation for solutions of fully nonlinear stochastic pdes ⋮ Representation of solutions to 2BSDEs in an extended monotonicity setting
Cites Work
- Unnamed Item
- Second order reflected backward stochastic differential equations
- Quasi-sure stochastic analysis through aggregation
- Wellposedness of second order backward SDEs
- Martingale representation theorem for the \(G\)-expectation
- Adapted solution of a backward stochastic differential equation
- Function spaces and capacity related to a sublinear expectation: application to \(G\)-Brownian motion paths
- Quadratic BSDEs with convex generators and unbounded terminal conditions
- Monotonic limit theorem of BSDE and nonlinear decomposition theorem of Doob-Meyer's type
- Continuous exponential martingales and BMO
- Backward stochastic differential equations and partial differential equations with quadratic growth.
- On pathwise stochastic integration
- Dual formulation of second order target problems
- Quadratic BSDEs driven by a continuous martingale and applications to the utility maximization problem
- BSDE with quadratic growth and unbounded terminal value
- Backward stochastic differential equations driven by \(G\)-Brownian motion
- Second order backward stochastic differential equations with quadratic growth
- Solvability of backward stochastic differential equations with quadratic growth
- Utility maximization in incomplete markets
- Second-order backward stochastic differential equations and fully nonlinear parabolic PDEs
- On Quadraticg-Evaluations/Expectations and Related Analysis
- ROBUST UTILITY MAXIMIZATION IN NONDOMINATED MODELS WITH 2BSDE: THE UNCERTAIN VOLATILITY MODEL
This page was built for publication: A new existence result for second-order BSDEs with quadratic growth and their applications
