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ArticleMultidimensional Markovian FBSDEs with super-quadratic growth

Michael Kupper2018

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Articlebronze2018

Multidimensional Markovian FBSDEs with super-quadratic growth

Michael Kupper · Peng Luo · Ludovic Tangpi

22 citations·0/0 files stored·Stochastic Processes and their Applications

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

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References

2006The Malliavin Calculus and Related Topics 1997Backward Stochastic Differential Equations in Finance 1999Stochastic controls : Hamiltonian systems and HJB equations 2000Backward stochastic differential equations and partial differential equations with quadratic growth 1994Solving forward-backward stochastic differential equations explicitly — a four step scheme 2006BSDE with quadratic growth and unbounded terminal value 2002On the existence and uniqueness of solutions to FBSDEs in a non-degenerate case 2007Quadratic BSDEs with convex generators and unbounded terminal conditions

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2022Backward propagation of chaos

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Year2018

Typearticle

Published2018-04-23

VenueStochastic Processes and their Applications

ISSN-L0304-4149

Languageen

Citations22

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.spa.2018.03.024

openalex_workW2801818840

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