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A stability approach for solving multidimensional quadratic BSDES
16 references·0 citing·28 second hop
A stability approach for solving multidimensional quadratic BSDES (2017)A stability approach for solving multidim…On the maximal inequalities of Burkholder, Davis and Gundy (2015)On the maximal inequalities o…Multidimensional quadratic and subquadratic BSDEs with special structure (2015)Multidimensional quadratic an…Multi-dimensional backward stochastic differential equations of diagonally quadratic generators (2015)Multi-dimensional backward st…OPTIMAL INVESTMENT UNDER RELATIVE PERFORMANCE CONCERNS (2013)OPTIMAL INVESTMENT UNDER RELA…Monotone stability of quadratic semimartingales with applications to unbounded general quadratic BSDEs (2013)Monotone stability of quadrat…A simple constructive approach to quadratic BSDEs with or without delay (2013)A simple constructive approac…On the uniqueness of solutions to quadratic BSDEs with convex generators and unbounded terminal conditions (2011)On the uniqueness of solution…A financial market with interacting investors: does an equilibrium exist? (2011)A financial market with inter…Solvability of backward stochastic differential equations with quadratic growth (2007)Solvability of backward stoch…BSDE with quadratic growth and unbounded terminal value (2006)BSDE with quadratic growth an…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…Backward Stochastic Differential Equations in Finance (1997)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…Stochastic Calculus in Manifolds (1989)Stochastic Calculus in Manifo…Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Optimum consumption and portfolio rules in a continuous-time model (1971)Brownian Motion and Stochastic Calculus (2007)A class of non-zero-sum stochastic differential investment and reinsurance games (2014)Non-zero-sum stochastic differential reinsurance and investment games with default risk (2017)Mean field and n‐agent games for optimal investment under relative performance criteria (2019)Nonlinear Expectations, Nonlinear Evaluations and Risk Measures (2004)Backward stochastic differential equations and quasilinear parabolic partial differential equations (2005)Utility maximization in incomplete markets (2005)Quadratic BSDEs with convex generators and unbounded terminal conditions (2007)Quadratic BSDEs with convex generators and unbounded terminal conditions (2008)On well-posedness of forward–backward SDEs—A unified approach (2015)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)The Pricing of Options and Corporate Liabilities (1973)Reflected solutions of backward SDE's, and related obstacle problems for PDE's (1997)Theory of rational option pricing (2005)Partial Differential Equations (2010)Stochastic Integration and Differential Equations (2005)Moral Hazard in Dynamic Risk Management (2016)A class of globally solvable Markovian quadratic BSDE systems and applications (2018)Interest rates and information geometry (2001)Interest Rates and Information Geometry (2001)Probability Distribution in the SABR Model of Stochastic Volatility (2015)Exponential Hedging and Entropic Penalties (2002)Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging (2006)Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework (2000)
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References

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  • 1997Backward Stochastic Differential Equations in Finance2,339 cited
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  • 2003BSDEs and risk-sensitive control, zero-sum and nonzero-sum game problems of stochastic functional differential equations186 cited
  • 2013OPTIMAL INVESTMENT UNDER RELATIVE PERFORMANCE CONCERNS156 cited
  • 2013Monotone stability of quadratic semimartingales with applications to unbounded general quadratic BSDEs122 cited
  • 2015Multi-dimensional backward stochastic differential equations of diagonally quadratic generators108 cited
  • 2011On the uniqueness of solutions to quadratic BSDEs with convex generators and unbounded terminal conditions102 cited
  • 2011A financial market with interacting investors: does an equilibrium exist?78 cited
  • 2013A simple constructive approach to quadratic BSDEs with or without delay76 cited

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  • 2015On the maximal inequalities of Burkholder, Davis and Gundy64 cited
  • 2015Multidimensional quadratic and subquadratic BSDEs with special structure57 cited
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