Solvability of coupled FBSDEs with diagonally quadratic generators

DOI10.1142/S0219493717500435MaRDI QIDQ5361985zbMATH OpenFDO

Authors Peng Luo, Ludovic Tangpi

Publication date 29 September 2017

Published in Stochastics and Dynamics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/S0219493717500435

zbMATH Keywords

backward stochastic differential equationscoupled systemsquadratic growthBMO-martingales

Mathematics Subject Classification ID

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)

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

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

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)