Related papers: New proofs of some results on BMO martingales usin…
The BMO martingale theory is extensively used to study nonlinear multi-dimensional stochastic equations (SEs) in $\cR^p$ ($p\in [1, \infty)$) and backward stochastic differential equations (BSDEs) in $\cR^p\times \cH^p$ ($p\in (1, \infty)$)…
In this paper, we study the connections between three concepts - the reverse H\"older inequality for matrix-valued martingales, the well-posedness of linear BSDEs with unbounded coefficients, and the well-posedness of quadratic BSDE…
We demonstrate that backward stochastic differential equations (BSDE) may be reformulated as ordinary functional differential equations on certain path spaces. In this framework, neither It\^{o}'s integrals nor martingale representation…
The problem of finding a martingale on a manifold with a fixed random terminal value can be solved by considering BSDEs with a generator with quadratic growth. We study here a generalization of these equations and we give uniqueness and…
In this paper, we study the stability and convergence of some general quadratic semimartingales. Motivated by financial applications, we study simultaneously the semimartingale and its opposite. Their characterization and integrability…
This article deals with the numerical approximation of Markovian backward stochastic differential equations (BSDEs) with generators of quadratic growth with respect to $z$ and bounded terminal conditions. We first study a slight…
The present paper studies a kind of robust optimization problems with constraint. The problem is formulated through Backward Stochastic Differential Equations (BSDEs) with quadratic generators. A necessary condition is established for the…
The present paper is devoted to the study of backward stochastic differential equations with mean reflection formulated by Briand et al. [7]. We investigate the solvability of a generalized mean reflected BSDE, whose driver also depends on…
We study the quantitative stability of the solutions to Markovian quadratic reflected BSDEs with bounded terminal data. By virtue of BMO martingale and change of measure techniques, we obtain stability estimates for the variation of the…
In this paper, we study a class of quadratic Backward Stochastic Differential Equations (BSDEs) which arises naturally when studying the problem of utility maximization with portfolio constraints. We first establish existence and uniqueness…
In this paper, we present martingale decomposition on time scales. We establish the related backward stochastic dynamic equations on time scales (this paper BS$\nabla$E for short, concerning $\nabla$-integral on time scales) which unify…
We prove the existence of the unique solution of a general Backward Stochastic Differential Equation with quadratic growth driven by martingales. Some kind of comparison theorem is also proved.
We study a stochastic optimal control problem for forward-backward control systems with quadratic generators. In order to establish the first and second-order variational and adjoint equations, we obtain a new estimate for one-dimensional…
We prove the existence and uniqueness of solutions to a class of quadratic BSDE systems which we call triangular quadratic. Our results generalize several existing results about diagonally quadratic BSDEs in the non-Markovian setting. As…
Backward Stochastic Differential Equations (BSDEs) have been widely employed in various areas of social and natural sciences, such as the pricing and hedging of financial derivatives, stochastic optimal control problems, optimal stopping…
We deduce conditional $L_p$-estimates for the variation of a solution of a BSDE. Both quadratic and sub-quadratic types of BSDEs are considered, and using the theory of weighted bounded mean oscillation we deduce new tail estimates for the…
In the present article we provide existence, uniqueness and stability results under an exponential moments condition for quadratic semimartingale backward stochastic differential equations (BSDEs) having convex generators. We show that the…
In this paper we discuss new types of differential equations which we call anticipated backward stochastic differential equations (anticipated BSDEs). In these equations the generator includes not only the values of solutions of the present…
In this paper, we investigate the well-posedness of quadratic backward stochastic differential equations driven by G-Brownian motion (referred to as G-BSDEs) with double mean reflections. By employing a representation of the solution via…
We obtain existence and uniqueness in L^p, p>1 of the solutions of a backward stochastic differential equations (BSDEs for short) driven by a marked point process, on a bounded interval. We show that the solution of the BSDE can be…