Multi-Dimensional Backward Stochastic Differential Equations of Diagonally Quadratic generators
By Ying Hu, Shanjian Tang. 2014
136 citations recorded by the source corpus.
The paper is concerned with adapted solution of a multi-dimensional BSDE with a "diagonally" quadratic generator, the quadratic part of whose $i$th component only depends on the $i$th row of the second unknown variable. Local and global solutions are given. In our proofs, it is natural and crucial to apply both John-Nirenberg and reverse H\"older inequalities for BMO martingales.
Subfields: Demography, Finance
View Paper: https://www.semanticscholar.org/paper/674d830d339f8563dd10dde36f2cf3b685b1c9c7
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Citations in the corpus
- A class of globally solvable Markovian quadratic BSDE systems and applications (2016, background): “6) belongs to the diagonally quadratic class studied recently in [37], whose Theorem 2.”