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
  • [21] On the uniqueness of solutions to quadratic BSDEs with convex generators and unbounded terminal conditions
    Delbaen, Freddy
    Hu, Ying
    Richou, Adrien
    ANNALES DE L INSTITUT HENRI POINCARE-PROBABILITES ET STATISTIQUES, 2011, 47 (02): : 559 - 574
  • [22] On the stability theorem of Lp solutions for multidimensional BSDEs with uniform continuity generators in z
    Ma, Jiaojiao
    Fan, Shengjun
    Fang, Rui
    BRAZILIAN JOURNAL OF PROBABILITY AND STATISTICS, 2016, 30 (02) : 321 - 344
  • [23] On quadratic multidimensional type-I BSVIEs, infinite families of BSDEs and their applications
    Hernandez, Camilo
    STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 2023, 162 : 249 - 298
  • [24] ON THE UNIQUENESS OF SOLUTIONS TO QUADRATIC BSDES WITH CONVEX GENERATORS AND UNBOUNDED TERMINAL CONDITIONS: THE CRITICAL CASE
    Delbaen, Freddy
    Hu, Ying
    Richou, Adrien
    DISCRETE AND CONTINUOUS DYNAMICAL SYSTEMS, 2015, 35 (11) : 5273 - 5283
  • [25] Well-posedness of scalar BSDEs with sub-quadratic generators and related PDEs
    Fan, Shengjun
    Hu, Ying
    STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 2021, 131 : 21 - 50
  • [26] Local existence and uniqueness of solutions to quadratic BSDEs with weak monotonicity and general growth generators
    Kim, Kon-Gun
    Kim, Mun-Chol
    O, Hun
    STATISTICS & PROBABILITY LETTERS, 2022, 186
  • [27] Lp (p ≥ 1) solutions of multidimensional BSDEs with monotone generators in general time intervals
    Xiao, Li-Shun
    Fan, Sheng-Jun
    Xu, Na
    STOCHASTICS AND DYNAMICS, 2015, 15 (01)
  • [28] On the uniqueness of solutions to quadratic BSDEs with non-convex generators and unbounded terminal conditions
    Fan, Shengjun
    Hu, Ying
    Tang, Shanjian
    COMPTES RENDUS MATHEMATIQUE, 2020, 358 (02) : 227 - 235
  • [29] Invariant representation for generators of general time interval quadratic BSDEs under stochastic growth conditions
    Zhou, Guangshuo
    Du, Fengjiao
    Fan, Shengjun
    STATISTICS & PROBABILITY LETTERS, 2024, 205
  • [30] General time interval multidimensional BSDEs with generators satisfying a weak stochastic-monotonicity condition
    Li, Tingting
    Xu, Ziheng
    Fan, Shengjun
    PROBABILITY UNCERTAINTY AND QUANTITATIVE RISK, 2021, 6 (04): : 301 - 318
12345