BSDEs with polynomial growth generators in a defaultable market

DOI10.1016/J.JMAA.2013.03.038MaRDI QIDQ488680zbMATH OpenOpenAlexFDO

Authors Dongmei Guo, Qi Zhang, Huinan Leng

Publication date 26 January 2015

Published in Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmaa.2013.03.038

zbMATH Keywords

backward stochastic differential equationdefault timedefaultable marketdefault processpolynomial growth generator

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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Cites work

• scientific article; zbMATH DE number 2130502 (Why is no real title available?)
• scientific article; zbMATH DE number 1341816 (Why is no real title available?)
• scientific article; zbMATH DE number 481040 (Why is no real title available?)
• scientific article; zbMATH DE number 1396448 (Why is no real title available?)
• Adapted solution of a backward stochastic differential equation
• BSDEs with polynomial growth generators
• BSDEs with random default time and related zero-sum stochastic differential games
• Backward stochastic differential equations and partial differential equations with quadratic growth.
• Backward stochastic differential equations with continuous coefficient
• Exponential utility maximization in an incomplete market with defaults
• Forward-backward stochastic differential equations and quasilinear parabolic PDEs
• PDE approach to valuation and hedging of credit derivatives
• PDE solutions of stochastic differential utility
• Probabilistic representation of weak solutions of partial differential equations with polynomial growth coefficients
• Random times and enlargements of filtrations in a Brownian setting.
• Stochastic Differential Utility

Cited in

(2)

• A BSDE with delayed generator approach to pricing under counterparty risk and collateralization
• BSDEs with default jump

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