Multidimensional quadratic and subquadratic BSDEs with special structure

By Patrick Cheridito, Kihun Nam. 2013

62 citations recorded by the source corpus.

We study multidimensional BSDEs of the formwith bounded terminal conditions and drivers that grow at most quadratically in . 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 in 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.

Subfields: Finance, Mathematical Physics

View Paper: https://www.semanticscholar.org/paper/3ea777a261e6272a0831d0dada3b5819f5a426e1

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1. Gordan vZitkovi'c
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Citations in the corpus

• A class of globally solvable Markovian quadratic BSDE systems and applications (2016, background): “Focusing only on the general existence results in the multidimensional case pertinent to our findings, let us mention just a few: [55] deals with linear-quadratic systems, [18] builds a structure around the ability to change the probability measure in the Markovian case and in [37], a slightly less ”