Multidimensional quadratic and subquadratic BSDEs with special structure

被引：38

作者：

Cheridito, Patrick ^{[1
]}

Nam, Kihun ^{[1
]}

机构：

[1] Princeton Univ, Princeton, NJ 08544 USA

来源：

STOCHASTICS-AN INTERNATIONAL JOURNAL OF PROBABILITY AND STOCHASTIC PROCESSES | 2015年 / 87卷 / 05期

基金：

美国国家科学基金会;

关键词：

multidimensional backward stochastic differential equations; forward-backward stochastic differential equations; quadratic BSDEs; projectable BSDEs; strictly subquadratic BSDEs; STOCHASTIC DIFFERENTIAL-EQUATIONS; GROWTH; PDES;

D O I：

10.1080/17442508.2015.1013959

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

We study multidimensional BSDEs of the form. We consider three different cases. In the first case, the BSDE is Markovian, and a solution can be obtained from a solution to a related FBSDE. In the second case, the BSDE becomes a one-dimensional quadratic BSDE when projected to a one-dimensional subspace, and a solution can be derived from a solution of the one-dimensional equation. In the third case, the growth of the driver is strictly subquadratic, and the existence and uniqueness of a solution can be shown by first solving the BSDE on a short time interval and then extending it recursively.

引用

页码：871 / 884

页数：14

共 19 条

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