Multidimensional quadratic BSDEs with separated generators

被引：11
|
作者：
Jamneshan, Asgar [1 ]
Kupper, Michael [1 ]
Luo, Peng [2 ]
机构：
[1] Univ Konstanz, Dept Math & Stat, Constance, Germany
[2] Swiss Fed Inst Technol, Dept Math, Zurich, Switzerland
来源：
ELECTRONIC COMMUNICATIONS IN PROBABILITY | 2017年 / 22卷
关键词：
multidimensional quadratic BSDEs; BMO martingales; STOCHASTIC DIFFERENTIAL-EQUATIONS; UNBOUNDED TERMINAL CONDITION; SUPERQUADRATIC BSDES; GROWTH; GAME; SUM;
D O I：
10.1214/17-ECP87
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
We consider multidimensional quadratic BSDEs with bounded and unbounded terminal conditions. We provide sufficient conditions which guarantee existence and uniqueness of solutions. In particular, these conditions are satisfied if the terminal condition or the dependence in the system are small enough.
引用
收藏
页数：10
相关论文
共 50 条
  • [1] Representation Theorem for Generators of Quadratic BSDEs
    Shi-qiu Zheng
    Shou-mei Li
    Acta Mathematicae Applicatae Sinica, English Series, 2018, 34 : 622 - 635
  • [2] Representation Theorem for Generators of Quadratic BSDEs
    Shi-qiu ZHENG
    Shou-mei LI
    Acta Mathematicae Applicatae Sinica, 2018, 34 (03) : 622 - 635
  • [3] Representation Theorem for Generators of Quadratic BSDEs
    Zheng, Shi-qiu
    Li, Shou-mei
    ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES, 2018, 34 (03): : 622 - 635
  • [4] Multidimensional Markovian BSDEs with Jumps and Continuous Generators
    Eddahbi, Mhamed
    Almualim, Anwar
    Khelfallah, Nabil
    Madoui, Imene
    AXIOMS, 2023, 12 (01)
  • [5] A stability approach for solving multidimensional quadratic BSDEs
    Harter, Jonathan
    Richou, Adrien
    ELECTRONIC JOURNAL OF PROBABILITY, 2019, 24
  • [6] Multidimensional quadratic and subquadratic BSDEs with special structure
    Cheridito, Patrick
    Nam, Kihun
    STOCHASTICS-AN INTERNATIONAL JOURNAL OF PROBABILITY AND STOCHASTIC PROCESSES, 2015, 87 (05) : 871 - 884
  • [7] RADNER EQUILIBRIUM AND SYSTEMS OF QUADRATIC BSDES WITH DISCONTINUOUS GENERATORS
    Escauriaza, Luis
    Schwarz, Daniel C.
    Xing, Hao
    ANNALS OF APPLIED PROBABILITY, 2022, 32 (05): : 3492 - 3536
  • [8] Multidimensional BSDEs with weak monotonicity and general growth generators
    Fan, Sheng Jun
    Jiang, Long
    ACTA MATHEMATICA SINICA-ENGLISH SERIES, 2013, 29 (10) : 1885 - 1906
  • [9] Uniqueness of solutions for multidimensional BSDEs with uniformly continuous generators
    Fan, Shengjun
    Jiang, Long
    Davison, Matt
    COMPTES RENDUS MATHEMATIQUE, 2010, 348 (11-12) : 683 - 686
  • [10] Multidimensional BSDEs with Weak Monotonicity and General Growth Generators
    Sheng Jun FAN
    Long JIANG
    Acta Mathematica Sinica,English Series, 2013, (10) : 1885 - 1906
12345