A class of globally solvable Markovian quadratic BSDE systems and applications
Probability
2017-03-10 v2
Abstract
We establish existence and uniqueness for a wide class of Markovian systems of backward stochastic differential equations (BSDE) with quadratic nonlinearities. This class is characterized by an abstract structural assumption on the generator, an a-priori local-boundedness property, and a locally-H\"older-continuous terminal condition. We present easily verifiable sufficient conditions for these assumptions and treat several applications, including stochastic equilibria in incomplete financial markets, stochastic differential games, and martingales on Riemannian manifolds.
Keywords
Cite
@article{arxiv.1603.00217,
title = {A class of globally solvable Markovian quadratic BSDE systems and applications},
author = {Hao Xing and Gordan Žitković},
journal= {arXiv preprint arXiv:1603.00217},
year = {2017}
}