Solvability of coupled FBSDEs with diagonally quadratic generators
From MaRDI portal
Publication:5361985
DOI10.1142/S0219493717500435zbMATH Open1372.60084MaRDI QIDQ5361985FDOQ5361985
Publication date: 29 September 2017
Published in: Stochastics and Dynamics (Search for Journal in Brave)
Recommendations
- Existence of global solutions for multi-dimensional coupled FBSDEs with diagonally quadratic generators
- Multidimensional Markovian FBSDEs with super-quadratic growth
- Multidimensional quadratic BSDEs with separated generators
- Multi-dimensional backward stochastic differential equations of diagonally quadratic generators
- A multi-dimensional FBSDE with quadratic generator and its applications
Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)
Cites Work
- Solving forward-backward stochastic differential equations explicitly -- a four step scheme
- Backward stochastic differential equations and partial differential equations with quadratic growth.
- BSDEs with terminal conditions that have bounded Malliavin derivative
- Multidimensional quadratic and subquadratic BSDEs with special structure
- Monotone stability of quadratic semimartingales with applications to unbounded general quadratic BSDEs
- Adapted solution of a backward stochastic differential equation
- Continuous exponential martingales and BMO
- Title not available (Why is that?)
- Backward SDEs with superquadratic growth
- On well-posedness of forward-backward SDEs -- a unified approach
- Splitting multidimensional BSDEs and finding local equilibria
- On the existence and uniqueness of solutions to FBSDEs in a non-degenerate case.
- Incomplete Stochastic Equilibria with Exponential Utilities Close to Pareto Optimality
- Forward-backward systems for expected utility maximization
- Portfolio optimization under nonlinear utility
- Multi-dimensional backward stochastic differential equations of diagonally quadratic generators
- An FBSDE approach to the Skorokhod embedding problem for Gaussian processes with non-linear drift
- Multidimensional Markovian FBSDEs with super-quadratic growth
- Existence of the solutions of backward-forward SDE's with continuous monotone coefficients
Cited In (11)
- Multidimensional Markovian FBSDEs with super-quadratic growth
- Backward propagation of chaos
- Maximum principle for stochastic control of SDEs with measurable drifts
- A multi-dimensional FBSDE with quadratic generator and its applications
- 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
- On quasilinear parabolic systems and FBSDEs of quadratic growth
This page was built for publication: Solvability of coupled FBSDEs with diagonally quadratic generators
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5361985)
