Multidimensional quadratic and subquadratic BSDEs with special structure

被引：38
|
作者：
Cheridito, Patrick [1 ]
Nam, Kihun [1 ]
机构：
[1] Princeton Univ, Princeton, NJ 08544 USA
来源：
STOCHASTICS-AN INTERNATIONAL JOURNAL OF PROBABILITY AND STOCHASTIC PROCESSES | 2015年 / 87卷 / 05期
基金：
美国国家科学基金会;
关键词：
multidimensional backward stochastic differential equations; forward-backward stochastic differential equations; quadratic BSDEs; projectable BSDEs; strictly subquadratic BSDEs; STOCHASTIC DIFFERENTIAL-EQUATIONS; GROWTH; PDES;
D O I：
10.1080/17442508.2015.1013959
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
We study multidimensional BSDEs of the form. We consider three different cases. In the first case, the BSDE is Markovian, and a solution can be obtained from a solution to a related FBSDE. In the second case, the BSDE becomes a one-dimensional quadratic BSDE when projected to a one-dimensional subspace, and a solution can be derived from a solution of the one-dimensional equation. In the third case, the growth of the driver is strictly subquadratic, and the existence and uniqueness of a solution can be shown by first solving the BSDE on a short time interval and then extending it recursively.
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页码：871 / 884
页数：14
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