A stability approach for solving multidimensional quadratic BSDES
Idioma
en
Article de revue
Este ítem está publicado en
Electronic Journal of Probability. 2019, vol. 24
Institute of Mathematical Statistics (IMS)
Resumen en inglés
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 ...Leer más >
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.< Leer menos
Palabras clave en inglés
Quadratic BSDEs
BSDE
Orígen
Importado de HalCentros de investigación