A new existence result for second-order BSDEs with quadratic growth and their applications

DOI10.1080/17442508.2015.1044531zbMath1337.60126arXiv1301.0457MaRDI QIDQ2803415

Yi-Qing Lin

Publication date: 4 May 2016

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1301.0457

zbMATH Keywords

backward stochastic differential equations; quadratic growth; robust utility maximization; nonlinear evaluations

Mathematics Subject Classification ID

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

91B16: Utility theory

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

91G80: Financial applications of other theories

Related Items

Quadratic backward stochastic differential equations driven by \(G\)-Brownian motion: discrete solutions and approximation, Representation of solutions to 2BSDEs in an extended monotonicity setting, Probabilistic interpretation for solutions of fully nonlinear stochastic pdes

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