The reverse Hölder inequality for matrix-valued stochastic exponentials and applications to quadratic BSDE systems
From MaRDI portal
Publication:6044245
DOI10.1016/J.SPA.2023.02.011zbMath1511.60085arXiv2202.13886MaRDI QIDQ6044245
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
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)
Cites Work
- Unnamed Item
- Unnamed Item
- Harmonic analysis of stochastic equations and backward stochastic differential equations
- Stochastic calculus in manifolds. With an appendix by P.A. Meyer
- Continuous exponential martingales and BMO
- A stability approach for solving multidimensional quadratic BSDEs
- A class of globally solvable Markovian quadratic BSDE systems and applications
- Backward stochastic differential equations and partial differential equations with quadratic growth.
- A simple constructive approach to quadratic BSDEs with or without delay
- Multidimensional quadratic and subquadratic BSDEs with special structure
- 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
This page was built for publication: The reverse Hölder inequality for matrix-valued stochastic exponentials and applications to quadratic BSDE systems