44th seminar on probability. Including papers from the `Journées de Probabilités', Dijon, France, June 2010
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Publication:660368
DOI10.1007/978-3-642-27461-9zbMATH Open1244.60005arXiv1101.2582OpenAlexW185155797MaRDI QIDQ660368FDOQ660368
Nicholas Westray, Markus Mocha
Publication date: 1 February 2012
Published in: Lecture Notes in Mathematics (Search for Journal in Brave)
Abstract: In the present article we provide existence, uniqueness and stability results under an exponential moments condition for quadratic semimartingale backward stochastic differential equations (BSDEs) having convex generators. We show that the martingale part of the BSDE solution defines a true change of measure and provide an example which demonstrates that pointwise convergence of the drivers is not sufficient to guarantee a stability result within our framework.
Full work available at URL: https://arxiv.org/abs/1101.2582
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- Quadratic BSDEs driven by a continuous martingale and applications to the utility maximization problem
- Pseudo linear pricing rule for utility indifference valuation
- Explicit solutions to quadratic BSDEs and applications to utility maximization in multivariate affine stochastic volatility models
- A Bismut-Elworthy formula for quadratic BSDEs
- New proofs of some results on bounded mean oscillation martingales using backward stochastic differential equations
- Decoupling on the Wiener Space, Related Besov Spaces, and Applications to BSDEs
- Probability approximations and beyond. Papers based on the presentations at the conference, Singapore, June 25--26, 2010 to honor Louis Chen on his 70th birthday.
- Closedness results for BMO semi-martingales and application to quadratic BSDEs
- Stability results for martingale representations: The general case
- Quadratic BSDE with \(\mathbb{L}^{2}\)-terminal data: Krylov's estimate, Itô-Krylov's formula and existence results
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