A stability approach for solving multidimensional quadratic BSDES
| hal.structure.identifier | Institut de Mathématiques de Bordeaux [IMB] | |
| dc.contributor.author | HARTER, Jonathan | |
| hal.structure.identifier | Institut de Mathématiques de Bordeaux [IMB] | |
| dc.contributor.author | RICHOU, Adrien | |
| dc.date.accessioned | 2024-04-04T03:06:39Z | |
| dc.date.available | 2024-04-04T03:06:39Z | |
| dc.date.issued | 2019 | |
| dc.identifier.issn | 1083-6489 | |
| dc.identifier.uri | https://oskar-bordeaux.fr/handle/20.500.12278/193354 | |
| dc.description.abstractEn | We establish an existence and uniqueness result for a class of multidimensional quadratic backward stochastic differential equations (BSDEs). This class is characterized by constraints on some uniform a priori estimates on solutions of a sequence of approximated BSDEs. We also present effective examples of applications. Our approach relies on the strategy developed by Briand and Elie in [Stochastic Process. Appl. 123 2921–2939] concerning scalar quadratic BSDEs. | |
| dc.language.iso | en | |
| dc.publisher | Institute of Mathematical Statistics (IMS) | |
| dc.subject.en | Quadratic BSDEs | |
| dc.subject.en | BSDE | |
| dc.title.en | A stability approach for solving multidimensional quadratic BSDES | |
| dc.type | Article de revue | |
| dc.identifier.doi | 10.1214/18-EJP260 | |
| dc.subject.hal | Mathématiques [math]/Probabilités [math.PR] | |
| dc.subject.hal | Mathématiques [math] | |
| bordeaux.journal | Electronic Journal of Probability | |
| bordeaux.volume | 24 | |
| bordeaux.hal.laboratories | Institut de Mathématiques de Bordeaux (IMB) - UMR 5251 | * |
| bordeaux.institution | Université de Bordeaux | |
| bordeaux.institution | Bordeaux INP | |
| bordeaux.institution | CNRS | |
| bordeaux.peerReviewed | oui | |
| hal.identifier | hal-01338673 | |
| hal.version | 1 | |
| hal.popular | non | |
| hal.audience | Internationale | |
| hal.origin.link | https://hal.archives-ouvertes.fr//hal-01338673v1 | |
| bordeaux.COinS | ctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.jtitle=Electronic%20Journal%20of%20Probability&rft.date=2019&rft.volume=24&rft.eissn=1083-6489&rft.issn=1083-6489&rft.au=HARTER,%20Jonathan&RICHOU,%20Adrien&rft.genre=article |
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