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Quadratic BSDEs with convex generators and unbounded terminal conditions · Study

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ArticleQuadratic BSDEs with convex generators and unbounded terminal conditions

Philippe Briand2008

OA

Articlegreen2008

Quadratic BSDEs with convex generators and unbounded terminal conditions

Philippe Briand · Ying Hu

185 citations·0/0 files stored·HAL

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

Abstract

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Citations in this library

Stored only when both papers are in the corpus — 185 citations exist upstream.

References

1999Continuous Martingales and Brownian Motion 1990Adapted solution of a backward stochastic differential equation 1997Backward Stochastic Differential Equations in Finance 2000Backward stochastic differential equations and partial differential equations with quadratic growth 2019Nonlinear Expectations and Stochastic Calculus under Uncertainty 2010Function Spaces and Capacity Related to a Sublinear Expectation: Application to G-Brownian Motion Paths 2008Multi-dimensional G-Brownian motion and related stochastic calculus under G-expectation 2005Utility maximization in incomplete markets

Cited by

2015Optimal investment–reinsurance strategy for mean–variance insurers with square-root factor process 2013Monotone stability of quadratic semimartingales with applications to unbounded general quadratic BSDEs 2015Multi-dimensional backward stochastic differential equations of diagonally quadratic generators 2011On the uniqueness of solutions to quadratic BSDEs with convex generators and unbounded terminal conditions 2010Backward SDEs with superquadratic growth 2016Moral Hazard in Dynamic Risk Management 2011A financial market with interacting investors: does an equilibrium exist?2013A simple constructive approach to quadratic BSDEs with or without delay

Details

Year2008

Typearticle

Published2008-01-01

VenueHAL

Languageen

Citations185

Files0 public / 0

ShelfStochastic processes and financial applications

Identifiers

openalex_workW3103310378

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