相关论文: Quadratic BSDEs driven by a continuous martingale …
This paper is concerned with the existence and uniqueness of weak solutions to the Cauchy-Dirichlet problem of backward stochastic partial differential equations (BSPDEs) with nonhomogeneous terms of quadratic growth in both the gradient of…
This paper is concerned with a kind of linear-quadratic (LQ) optimal control problem of backward stochastic differential equation (BSDE) with partial information. The cost functional includes cross terms between the state and control, and…
In this paper, we study an optimal control problem of linear backward stochastic differential equation (BSDE) with quadratic cost functional under partial information. This problem is solved completely and explicitly by using a stochastic…
We study a robust utility maximization problem in the case of an incomplete market and logarithmic utility with general stochastic constraints, not necessarily convex. Our problem is equivalent to maximizing of nonlinear expected…
We study backward stochastic difference equations (BS{\Delta}E) driven by a d-dimensional stochastic process on a lattice whose increments have only d + 1 possible values that generates the lattice. Regarding the driving process as a d…
For an $\cF_T$-measurable payoff of a European type contingent claim, the recursive utility process/dynamic risk measure can be described by the adapted solution to a backward stochastic differential equation (BSDE). However, for an…
We study the expected utility maximization problem of a large investor who is allowed to make transactions on tradable assets in an incomplete financial market with endogenous permanent market impacts. The asset prices are assumed to follow…
In this paper we investigate novel applications of a new class of equations which we call time-delayed backward stochastic differential equations. Time-delayed BSDEs may arise in finance when we want to find an investment strategy and an…
In this paper, we study a class of Quadratic Backward Stochastic Differential Equations (QBSDE in short) with jumps and unbounded terminal condition. We extend the class of quadratic semimartingales introduced by Barrieu and El Karoui…
We prove results on bounded solutions to backward stochastic equations driven by random measures. Those bounded BSDE solutions are then applied to solve different stochastic optimization problems with exponential utility in models where the…
In this paper, we initiate the study of backward doubly stochastic differential equations (BDSDEs, for short) with quadratic growth. The existence, comparison, and stability results for one-dimensional BDSDEs are proved when the generator…
This article studies the sensitivity of the power utility maximization problem with respect to the investor's relative risk aversion, the statistical probability measure, the investment constraints and the market price of risk. We extend…
We consider Lipschitz-type backward stochastic differential equations (BSDEs) driven by cylindrical martingales on the space of continuous functions. We show the existence and uniqueness of the solution of such infinite-dimensional BSDEs…
This paper studies finite-time optimal consumption-investment problems with power, logarithmic and exponential utilities, in a regime switching market with random coefficients, subject to coupled constraints on the consumption and…
In this paper, we study the multi-dimensional mean-field backward stochastic differential equations (BSDEs, for short) with quadratic growth. Under small terminal value, the existence and uniqueness are proved for the multi-dimensional…
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…
We study an optimal consumption and investment problem in a possibly incomplete market with general, not necessarily convex, stochastic constraints. We give explicit solutions for investors with exponential, logarithmic and power utility.…
The present paper is devoted to the study of diagonally quadratic backward stochastic differential equation with oblique reflection. Using a penalization approach, we show the existence fo a solution by providing some delicated a priori…
We consider the utility maximization problem for a general class of utility functions defined on the real line. We rely on existing results which reduce the problem to a coupled forward-backward stochastic differential equation (FBSDE) and…
We consider some certain nonlinear perturbations of the stochastic linear-quadratic optimization problems and study the connections between their solutions and the corresponding Markovian backward stochastic diferential equations (BSDEs).…