Mean-field type quadratic BSDEs

DOI10.3934/NACO.2022009MaRDI QIDQ6164085zbMATH OpenOpenAlexFDO

Authors Hélène Hibon, Ying Hu, Shanjian Tang

Publication date 26 July 2023

Published in Numerical Algebra, Control and Optimization (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1708.08784

zbMATH Keywords

backward stochastic differential equationquadratic growthmean-field type

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Abstract: In this paper, we give several new results on solvability of a quadratic BSDE whose generator depends also on the mean of both variables. First, we consider such a BSDE using John-Nirenberg's inequality for BMO martingales to estimate its contribution to the evolution of the first unknown variable. Then we consider the BSDE having an additive expected value of a quadratic generator in addition to the usual quadratic one. In this case, we use a deterministic shift transformation to the first unknown variable, when the usual quadratic generator depends neither on the first variable nor its mean, the general case can be treated by a fixed point argument.

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Cites work

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Cited in

(8)

• General mean-field BSDEs with diagonally quadratic generator in multi-dimension
• A Bismut-Elworthy formula for quadratic BSDEs
• General mean reflected backward stochastic differential equations
• Solvability of a class of mean-field BSDEs with quadratic growth
• Mean field portfolio games
• Quadratic BSDEs with mean reflection
• Anticipated backward stochastic differential equations with quadratic growth
• Numerical simulation of quadratic BSDEs

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