Solvability of coupled FBSDEs with diagonally quadratic generators
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Publication:5361985
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Cites work
- scientific article; zbMATH DE number 2006037 (Why is no real title available?)
- Adapted solution of a backward stochastic differential equation
- An FBSDE approach to the Skorokhod embedding problem for Gaussian processes with non-linear drift
- BSDEs with terminal conditions that have bounded Malliavin derivative
- Backward SDEs with superquadratic growth
- Backward stochastic differential equations and partial differential equations with quadratic growth.
- Continuous exponential martingales and BMO
- Existence of the solutions of backward-forward SDE's with continuous monotone coefficients
- Forward-backward systems for expected utility maximization
- Incomplete stochastic equilibria with exponential utilities close to Pareto optimality
- Monotone stability of quadratic semimartingales with applications to unbounded general quadratic BSDEs
- Multi-dimensional backward stochastic differential equations of diagonally quadratic generators
- Multidimensional Markovian FBSDEs with super-quadratic growth
- Multidimensional quadratic and subquadratic BSDEs with special structure
- On the existence and uniqueness of solutions to FBSDEs in a non-degenerate case.
- On well-posedness of forward-backward SDEs -- a unified approach
- Portfolio optimization under nonlinear utility
- Solving forward-backward stochastic differential equations explicitly -- a four step scheme
- Splitting multidimensional BSDEs and finding local equilibria
Cited in
(12)- On quasilinear parabolic systems and FBSDEs of quadratic growth
- A note on comonotonicity and positivity of the control components of decoupled quadratic FBSDE
- Multidimensional Markovian FBSDEs with super-quadratic growth
- Backward propagation of chaos
- A multi-dimensional FBSDE with quadratic generator and its applications
- Maximum principle for stochastic control of SDEs with measurable drifts
- A class of quadratic forward-backward stochastic differential equations
- Strong solutions of forward-backward stochastic differential equations with measurable coefficients
- Equilibrium asset pricing with transaction costs
- Existence of global solutions for multi-dimensional coupled FBSDEs with diagonally quadratic generators
- Global existence for quadratic FBSDE systems and application to stochastic differential games
- A type of globally solvable BSDEs with triangularly quadratic generators
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