Splitting multidimensional BSDEs and finding local equilibria

DOI10.1016/j.spa.2014.03.004zbMath1329.60181OpenAlexW2164947443MaRDI QIDQ402721

Christoph Frei

Publication date: 28 August 2014

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

Full work available at URL: https://doi.org/10.1016/j.spa.2014.03.004

zbMATH Keywords

backward stochastic differential equationssplittinglocal equilibriumoptimal investmentrelative performancequadratic generator

Mathematics Subject Classification ID

Special types of economic equilibria (91B52) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Financial applications of other theories (91G80)

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Cites Work

• Unnamed Item
• On the uniqueness of solutions to quadratic BSDEs with convex generators and unbounded terminal conditions
• Adapted solution of a backward stochastic differential equation
• Quadratic BSDEs with convex generators and unbounded terminal conditions
• The chain store paradox
• Continuous exponential martingales and BMO
• Backward stochastic differential equations and partial differential equations with quadratic growth.
• A financial market with interacting investors: does an equilibrium exist?
• A simple constructive approach to quadratic BSDEs with or without delay
• Solvability of backward stochastic differential equations with quadratic growth
• Utility maximization in incomplete markets

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