Mean-field type quadratic BSDEs

DOI10.3934/NACO.2022009zbMath1515.60191arXiv1708.08784OpenAlexW2753368163MaRDI QIDQ6164085

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)

Related Items (3)

General mean reflected backward stochastic differential equations ⋮ Anticipated backward stochastic differential equations with quadratic growth ⋮ Mean field portfolio games

Cites Work

• Well-posedness of mean-field type forward-backward stochastic differential equations
• Adapted solution of a backward stochastic differential equation
• BSE's, BSDE's and fixed-point problems
• Mean-field backward stochastic differential equations and related partial differential equations
• Mean field forward-backward stochastic differential equations
• Quadratic BSDEs with convex generators and unbounded terminal conditions
• Continuous exponential martingales and BMO
• Conjugate convex functions in optimal stochastic control
• Backward stochastic differential equations and partial differential equations with quadratic growth.
• BSDE with quadratic growth and unbounded terminal value
• Linear Quadratic Optimal Stochastic Control with Random Coefficients
• Probabilistic Theory of Mean Field Games with Applications I

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