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Backward SDEs with superquadratic growth · Study

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ArticleBackward SDEs with superquadratic growth

Freddy Delbaen2010

OA

Articlebronze2010

Backward SDEs with superquadratic growth

Freddy Delbaen · Ying Hu · Xiaobo Bao

95 citations·0/0 files stored·Probability Theory and Related Fields

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Stochastic processes and financial applications Nonlinear Differential Equations Analysis Fuzzy Systems and Optimization

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References

1990Adapted solution of a backward stochastic differential equation 1997Backward Stochastic Differential Equations in Finance 2002Convex measures of risk and trading constraints 2005Backward stochastic differential equations and quasilinear parabolic partial differential equations 2000Backward stochastic differential equations and partial differential equations with quadratic growth 2006BSDE with quadratic growth and unbounded terminal value 2007Law invariant risk measures have the Fatou property 2006Second‐order backward stochastic differential equations and fully nonlinear parabolic PDEs

Cited by

2013A simple constructive approach to quadratic BSDEs with or without delay 2018A class of globally solvable Markovian quadratic BSDE systems and applications 2012Markovian quadratic and superquadratic BSDEs with an unbounded terminal condition 2013BSDEs with terminal conditions that have bounded Malliavin derivative 2011Numerical simulation of BSDEs with drivers of quadratic growth

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2018A class of globally solvable Markovian quadratic BSDE systems and applicationsarticle · 7 shared references 2013BSDEs with terminal conditions that have bounded Malliavin derivativearticle · 7 shared references 2019Recursive Utility Processes, Dynamic Risk Measures and Quadratic Backward Stochastic Volterra Integral Equationsarticle · 7 shared references 2015On the uniqueness of solutions to quadratic BSDEs with convex generators and unbounded terminal conditions: The critical casearticle · 7 shared references 2013Monotone stability of quadratic semimartingales with applications to unbounded general quadratic BSDEsarticle · 6 shared references 2011Backward Stochastic Differential Equation, Nonlinear Expectation and Their Applicationsother · 6 shared references

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Year2010

Typearticle

Published2010-02-24

VenueProbability Theory and Related Fields

ISSN-L0178-8051

Languageen

Citations95

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s00440-010-0271-1

openalex_workW2139462613

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2018

Existence and uniqueness results for BSDE with jumps: the whole nine yards

2019Backward stochastic Volterra integral equations—Representation of adapted solutions

2013BS$\Delta$Es and BSDEs with non-Lipschitz drivers: Comparison, convergence and robustness