SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Multi-dimensional backward stochastic differential equations of diagonally quadratic generators
11 references·11 citing·21 second hop
Multi-dimensional backward stochastic differential equations of diagonally quadratic generators (2015)Multi-dimensional backward stochastic dif…Backward Stochastic Differential Equation, Nonlinear Expectation and Their Applications (2011)Backward Stochastic Different…Quadratic BSDEs with convex generators and unbounded terminal conditions (2008)Quadratic BSDEs with convex g…Solvability of backward stochastic differential equations with quadratic growth (2007)Solvability of backward stoch…Quadratic BSDEs with convex generators and unbounded terminal conditions (2007)Quadratic BSDEs with convex g…BSDE with quadratic growth and unbounded terminal value (2006)BSDE with quadratic growth an…General Linear Quadratic Optimal Stochastic Control Problems with Random Coefficients: Linear Stochastic Hamilton Systems and Backward Stochastic Riccati Equations (2003)General Linear Quadratic Opti…BSDEs and risk-sensitive control, zero-sum and nonzero-sum game problems of stochastic functional differential equations (2003)BSDEs and risk-sensitive cont…Backward stochastic differential equations and partial differential equations with quadratic growth (2000)Backward stochastic different…Continuous Exponential Martingales and BMO (1994)Continuous Exponential Martin…Adapted solution of a backward stochastic differential equation (1990)Adapted solution of a backwar…Linear Quadratic Optimal Stochastic Control with Random Coefficients (1976)Linear Quadratic Optimal Stoc…Constrained stochastic LQ control with regime switching and application to portfolio selection (2022)Constrained stochastic LQ con…Backward propagation of chaos (2022)Backward propagation of chaosSystems of Ergodic BSDEs Arising in Regime Switching Forward Performance Processes (2020)Systems of Ergodic BSDEs Aris…Recursive Utility Processes, Dynamic Risk Measures and Quadratic Backward Stochastic Volterra Integral Equations (2019)Recursive Utility Processes, …Contracting Theory with Competitive Interacting Agents (2019)Contracting Theory with Compe…Multidimensional Markovian FBSDEs with super-quadratic growth (2018)Multidimensional Markovian FB…Existence and uniqueness results for BSDE with jumps: the whole nine yards (2018)Existence and uniqueness resu…A class of globally solvable Markovian quadratic BSDE systems and applications (2018)A class of globally solvable …Multidimensional quadratic BSDEs with separated generators (2017)Multidimensional quadratic BS…Improved error bounds for quantization based numerical schemes for BSDE and nonlinear filtering (2017)Improved error bounds for qua…A stability approach for solving multidimensional quadratic BSDES (2017)A stability approach for solv…Backward Stochastic Differential Equations in Finance (1997)Nonlinear Expectations, Nonlinear Evaluations and Risk Measures (2004)Backward stochastic differential equations and quasilinear parabolic partial differential equations (2005)Stochastic controls : Hamiltonian systems and HJB equations (1999)On well-posedness of forward–backward SDEs—A unified approach (2015)The Maximum Principle for Global Solutions of Stochastic Stackelberg Differential Games (2015)Utility maximization in incomplete markets (2005)Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework (2000)Brownian Motion and Stochastic Calculus (2007)Continuous Martingales and Brownian Motion (1999)Optimal control of stochastic delay equations and time-advanced backward stochastic differential equations (2011)Stochastic differential games for optimal investment problems in a Markov regime-switching jump-diffusion market (2020)Exponential Hedging and Entropic Penalties (2002)Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging (2006)Stochastic Hamilton–Jacobi–Bellman Equations (1992)Mean-Variance Portfolio Selection with Random Parameters in a Complete Market (2002)$\epsilon$-Nash Mean Field Game Theory for Nonlinear Stochastic Dynamical Systems with Major and Minor Agents (2013)On the uniqueness of solutions to quadratic BSDEs with convex generators and unbounded terminal conditions (2011)Monotone stability of quadratic semimartingales with applications to unbounded general quadratic BSDEs (2013)Optimal investment–reinsurance strategy for mean–variance insurers with square-root factor process (2015)ROBUST UTILITY MAXIMIZATION IN NONDOMINATED MODELS WITH 2BSDE: THE UNCERTAIN VOLATILITY MODEL (2013)
this work references cited by second hop

References

  • 1990Adapted solution of a backward stochastic differential equation2,676 cited
  • 2000Backward stochastic differential equations and partial differential equations with quadratic growth763 cited
  • 1994Continuous Exponential Martingales and BMO422 cited
  • 1976Linear Quadratic Optimal Stochastic Control with Random Coefficients338 cited
  • 2006BSDE with quadratic growth and unbounded terminal value314 cited
  • 2007Quadratic BSDEs with convex generators and unbounded terminal conditions223 cited
  • 2007Solvability of backward stochastic differential equations with quadratic growth186 cited
  • 2003BSDEs and risk-sensitive control, zero-sum and nonzero-sum game problems of stochastic functional differential equations186 cited
  • 2008Quadratic BSDEs with convex generators and unbounded terminal conditions185 cited
  • 2003General Linear Quadratic Optimal Stochastic Control Problems with Random Coefficients: Linear Stochastic Hamilton Systems and Backward Stochastic Riccati Equations172 cited
  • 2011Backward Stochastic Differential Equation, Nonlinear Expectation and Their Applications121 cited

Cited by

  • 2018A class of globally solvable Markovian quadratic BSDE systems and applications74 cited
  • 2019Contracting Theory with Competitive Interacting Agents51 cited
  • 2018Existence and uniqueness results for BSDE with jumps: the whole nine yards

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

42 cited
  • 2019Recursive Utility Processes, Dynamic Risk Measures and Quadratic Backward Stochastic Volterra Integral Equations38 cited
  • 2017Improved error bounds for quantization based numerical schemes for BSDE and nonlinear filtering28 cited
  • 2017Multidimensional quadratic BSDEs with separated generators26 cited
  • 2017A stability approach for solving multidimensional quadratic BSDES24 cited
  • 2018Multidimensional Markovian FBSDEs with super-quadratic growth22 cited
  • 2020Systems of Ergodic BSDEs Arising in Regime Switching Forward Performance Processes21 cited
  • 2022Constrained stochastic LQ control with regime switching and application to portfolio selection21 cited
  • 2022Backward propagation of chaos21 cited