Multi-dimensional backward stochastic differential equations of diagonally quadratic generators

DOI10.1016/j.spa.2015.10.011zbMath1333.60120arXiv1408.4579OpenAlexW2963571471MaRDI QIDQ5965370

Shanjian Tang, Ying Hu

Publication date: 3 March 2016

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

Full work available at URL: https://arxiv.org/abs/1408.4579

zbMATH Keywords

reverse Hölder inequalityBMO martingalesdiagonally quadratic generatorsJohn-Nirenberg inequalitymuliti-dimensional backward stochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Ordinary differential equations and systems with randomness (34F05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60)

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