Harmonic analysis of stochastic equations and backward stochastic differential equations

DOI10.1007/s00440-008-0191-5zbMath1210.60060arXiv0801.3505OpenAlexW2166461365MaRDI QIDQ843710

Shanjian Tang, Freddy Delbaen

Publication date: 15 January 2010

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0801.3505

zbMATH Keywords

stochastic differential equationreverse Hölder inequalitybackward stochastic differential equationunbounded coefficientsBMO martingalescontinuous local martingaleFefferman's inequality

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44) Martingales and classical analysis (60G46)

Related Items (27)

Bounded solutions, \(L^p\) \((p > 1)\) solutions and \(L^1\) solutions for one dimensional BSDEs under general assumptions ⋮ Existence and Uniqueness for Non-Markovian Triangular Quadratic BSDEs ⋮ A Global Stochastic Maximum Principle for Forward-Backward Stochastic Control Systems with Quadratic Generators ⋮ Weighted bounded mean oscillation applied to backward stochastic differential equations ⋮ General time interval multidimensional BSDEs with generators satisfying a weak stochastic-monotonicity condition ⋮ Optimal stochastic control with recursive cost functionals of stochastic differential systems reflected in a domain ⋮ Mean-variance asset-liability management problem under non-Markovian regime-switching models ⋮ The reverse Hölder inequality for matrix-valued stochastic exponentials and applications to quadratic BSDE systems ⋮ Gaussian-type density bounds for solutions to multidimensional backward SDEs and application to gene expression ⋮ BSDEs with stochastic Lipschitz condition: a general result ⋮ Existence and uniqueness of solutions to backward 2D and 3D stochastic convective Brinkman-Forchheimer equations forced by Lévy noise ⋮ On quasilinear parabolic systems and FBSDEs of quadratic growth ⋮ L^p solutions of general time interval BSDEs with generators satisfying a p-order weak stochastic-monotonicity condition ⋮ BSDEs in utility maximization with BMO market price of risk ⋮ \(L ^{p }\) theory for super-parabolic backward stochastic partial differential equations in the whole space ⋮ A stability approach for solving multidimensional quadratic BSDEs ⋮ 2D backward stochastic Navier-Stokes equations with nonlinear forcing ⋮ Backward stochastic differential equations with unbounded generators ⋮ New proofs of some results on bounded mean oscillation martingales using backward stochastic differential equations ⋮ \(L^p\) solutions of multidimensional BSDEs with weak monotonicity and general growth generators ⋮ An extension of Pratelli's inequality ⋮ Decoupling on the Wiener Space, Related Besov Spaces, and Applications to BSDEs ⋮ Backward stochastic partial differential equations driven by infinite-dimensional martingales and applications ⋮ Existence, uniqueness and stability of \(L^1\) solutions for multidimensional backward stochastic differential equations with generators of one-sided Osgood type ⋮ Characterization of optimal feedback for stochastic linear quadratic control problems ⋮ Stability and Analytic Expansions of Local Solutions of Systems of Quadratic BSDEs with Applications to a Price Impact Model ⋮ Semi-linear backward stochastic integral partial differential equations driven by a Brownian motion and a Poisson point process

Cites Work

• Adapted solution of a backward stochastic differential equation
• Quadratic BSDEs with convex generators and unbounded terminal conditions
• A probabilistic proof of the Garnett-Jones theorem on BMO
• On the existence, uniqueness, convergence and explosions of solutions of systems of stochastic integral equations
• Weighted norm inequalities and hedging in incomplete markets
• Forward-backward stochastic differential equations and their applications
• Continuous exponential martingales and BMO
• Approximating random variables by stochastic integrals
• Conjugate convex functions in optimal stochastic control
• Global adapted solution of one-dimensional backward stochastic Riccati equations, with application to the mean-variance hedging.
• Backward stochastic differential equations and partial differential equations with quadratic growth.
• Föllmer-Schweizer decomposition and mean-variance hedging for general claims
• BSDE with quadratic growth and unbounded terminal value
• Utility maximization in incomplete markets
• Paraproducts and Commutators of Martingale Transforms
• Linear Quadratic Optimal Stochastic Control with Random Coefficients
• On the existence and unicity of solutions of stochastic integral equations
• [https://portal.mardi4nfdi.de/wiki/Publication:4121258 Stabilit� des solutions des �quations diff�rentielles stochastiques application aux int�grales multiplicatives stochastiques]
• Résultats d'existence et d'unicité pour des équations différentielles stochastiques rétrogrades avec des générateurs à croissance quadratique
• Backward Stochastic Differential Equations in Finance
• General Linear Quadratic Optimal Stochastic Control Problems with Random Coefficients: Linear Stochastic Hamilton Systems and Backward Stochastic Riccati Equations
• Minimization of Risk and Linear Quadratic Optimal Control Theory
• A projection result for semimartingales
• Constrained Stochastic LQ Control with Random Coefficients, and Application to Portfolio Selection
• On stochastic differential equations
• On a stochastic integral equation
• The distance in BMO to \(L^\infty\)
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Harmonic analysis of stochastic equations and backward stochastic differential equations