The reverse Hölder inequality for matrix-valued stochastic exponentials and applications to quadratic BSDE systems

DOI10.1016/J.SPA.2023.02.011zbMath1511.60085arXiv2202.13886MaRDI QIDQ6044245

Joe Jackson

Publication date: 17 May 2023

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

Full work available at URL: https://arxiv.org/abs/2202.13886

zbMATH Keywords

Hölder inequalityquadratic BSDE systems

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cites Work

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• Backward Stochastic Differential Equations in Finance
• Existence and Uniqueness for Non-Markovian Triangular Quadratic BSDEs
• Multi-dimensional backward stochastic differential equations of diagonally quadratic generators

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