Quadratic BSDEs with mean reflection driven by G-brownian motion

DOI10.1142/s0219493723500442OpenAlexW4384931378MaRDI QIDQ6090805

Unnamed Author, Yi-Qing Lin, Unnamed Author

Publication date: 20 November 2023

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

Full work available at URL: https://doi.org/10.1142/s0219493723500442

zbMATH Keywords

\(G\)-Brownian motionmean reflection\(G\)-BSDEsquadratic generators

Mathematics Subject Classification ID

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

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• On the uniqueness of solutions to quadratic BSDEs with convex generators and unbounded terminal conditions: the critical case
• Second order reflected backward stochastic differential equations
• Wellposedness of second order backward SDEs
• On the uniqueness of solutions to quadratic BSDEs with convex generators and unbounded terminal conditions
• Martingale representation theorem for the \(G\)-expectation
• Stopping times and related Itô's calculus with \(G\)-Brownian motion
• General existence results for reflected BSDE and BSDE
• Adapted solution of a backward stochastic differential equation
• Function spaces and capacity related to a sublinear expectation: application to \(G\)-Brownian motion paths
• On the uniqueness of solutions to quadratic BSDEs with non-convex generators and unbounded terminal conditions
• Quadratic BSDEs with convex generators and unbounded terminal conditions
• Reflected solutions of backward SDE's, and related obstacle problems for PDE's
• Quadratic backward stochastic differential equations driven by \(G\)-Brownian motion: discrete solutions and approximation
• Stochastic control for a class of nonlinear kernels and applications
• BSDEs with mean reflection
• BSDEs with mean reflection driven by \(G\)-Brownian motion
• Backward stochastic differential equations and partial differential equations with quadratic growth.
• Reflected quadratic BSDEs driven by \(G\)-Brownian motions
• Quadratic BSDEs with mean reflection
• Quadratic \(G\)-BSDEs with convex generators and unbounded terminal conditions
• Second order backward SDE with random terminal time
• BSDE with quadratic growth and unbounded terminal value
• Backward stochastic differential equations driven by \(G\)-Brownian motion
• Comparison theorem, Feynman-Kac formula and Girsanov transformation for BSDEs driven by \(G\)-Brownian motion
• Second order backward stochastic differential equations with quadratic growth
• Multi-dimensional \(G\)-Brownian motion and related stochastic calculus under \(G\)-expectation
• Coherent Measures of Risk
• A Girsanov Type Theorem Under G-Framework
• Generalized Reflected BSDE and an Obstacle Problem for PDEs with a Nonlinear Neumann Boundary Condition
• Nonlinear Expectations and Stochastic Calculus under Uncertainty
• Multi-dimensional backward stochastic differential equations of diagonally quadratic generators

This page was built for publication: Quadratic BSDEs with mean reflection driven by G-brownian motion