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A simple constructive approach to quadratic BSDEs with or without delay

Citations

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Cited by:

  1. Han, Qiang & Liu, Yurong, 2026. "Tamed Euler interpolation multilevel Monte Carlo method for quadratic forward backward stochastic differential equations," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 240(C), pages 20-37.
  2. Martin Herdegen & Johannes Muhle-Karbe & Dylan Possamaï, 2021. "Equilibrium asset pricing with transaction costs," Finance and Stochastics, Springer, vol. 25(2), pages 231-275, April.
  3. Fan, Shengjun & Hu, Ying, 2021. "Well-posedness of scalar BSDEs with sub-quadratic generators and related PDEs," Stochastic Processes and their Applications, Elsevier, vol. 131(C), pages 21-50.
  4. Kim Weston & Gordan Žitković, 2020. "An incomplete equilibrium with a stochastic annuity," Finance and Stochastics, Springer, vol. 24(2), pages 359-382, April.
  5. Ying Hu & Gechun Liang & Shanjian Tang, 2018. "Systems of ergodic BSDEs arising in regime switching forward performance processes," Papers 1807.01816, arXiv.org, revised Jun 2020.
  6. Dmitry Kramkov & Sergio Pulido, 2014. "Stability and analytic expansions of local solutions of systems of quadratic BSDEs with applications to a price impact model," Papers 1410.6144, arXiv.org, revised Aug 2016.
  7. Jia, Guangyan & Zhang, Na, 2015. "Quadratic g-convexity, C-convexity and their relationships," Stochastic Processes and their Applications, Elsevier, vol. 125(6), pages 2272-2294.
  8. Monia Karouf, 2019. "Reflected and Doubly Reflected Backward Stochastic Differential Equations with Time-Delayed Generators," Journal of Theoretical Probability, Springer, vol. 32(1), pages 216-248, March.
  9. Luo, Peng & Zhu, Mengbo, 2024. "Diagonally quadratic BSDE with oblique reflection and optimal switching," Stochastic Processes and their Applications, Elsevier, vol. 176(C).
  10. Jackson, Joe & Žitković, Gordan, 2022. "A characterization of solutions of quadratic BSDEs and a new approach to existence," Stochastic Processes and their Applications, Elsevier, vol. 147(C), pages 210-225.
  11. Lionnet, Arnaud, 2014. "Some results on general quadratic reflected BSDEs driven by a continuous martingale," Stochastic Processes and their Applications, Elsevier, vol. 124(3), pages 1275-1302.
  12. Kim Weston & Gordan Zitkovic, 2018. "An incomplete equilibrium with a stochastic annuity," Papers 1809.05947, arXiv.org.
  13. Dmitry Kramkov & Sergio Pulido, 2016. "Stability and analytic expansions of local solutions of systems of quadratic BSDEs with applications to a price impact model," Working Papers hal-01181147, HAL.
  14. Hu, Ying & Lin, Yiqing & Soumana Hima, Abdoulaye, 2018. "Quadratic backward stochastic differential equations driven by G-Brownian motion: Discrete solutions and approximation," Stochastic Processes and their Applications, Elsevier, vol. 128(11), pages 3724-3750.
  15. Hu, Ying & Tang, Shanjian & Wang, Falei, 2022. "Quadratic G-BSDEs with convex generators and unbounded terminal conditions," Stochastic Processes and their Applications, Elsevier, vol. 153(C), pages 363-390.
  16. Fan, Shengjun & Hu, Ying & Tang, Shanjian, 2023. "Existence, uniqueness and comparison theorem on unbounded solutions of scalar super-linear BSDEs," Stochastic Processes and their Applications, Elsevier, vol. 157(C), pages 335-375.
  17. Nam, Kihun, 2021. "Locally Lipschitz BSDE driven by a continuous martingale a path-derivative approach," Stochastic Processes and their Applications, Elsevier, vol. 141(C), pages 376-411.
  18. Geiss, Stefan & Ylinen, Juha, 2020. "Weighted bounded mean oscillation applied to backward stochastic differential equations," Stochastic Processes and their Applications, Elsevier, vol. 130(6), pages 3711-3752.
  19. Ying Hu & Remi Moreau & Falei Wang, 2024. "General Mean Reflected Backward Stochastic Differential Equations," Journal of Theoretical Probability, Springer, vol. 37(1), pages 877-904, March.
  20. Samuel Drapeau & Peng Luo & Dewen Xiong, 2017. "Characterization of Fully Coupled FBSDE in Terms of Portfolio Optimization," Papers 1703.02694, arXiv.org, revised Sep 2019.
  21. Vicky Henderson & Gechun Liang, 2014. "Pseudo linear pricing rule for utility indifference valuation," Finance and Stochastics, Springer, vol. 18(3), pages 593-615, July.
  22. Hernández-Santibáñez, Nicolás, 2024. "Principal-Multiagents problem under equivalent changes of measure: General study and an existence result," Stochastic Processes and their Applications, Elsevier, vol. 177(C).
  23. Ludovic Tangpi & Xuchen Zhou, 2022. "Optimal Investment in a Large Population of Competitive and Heterogeneous Agents," Papers 2202.11314, arXiv.org, revised Feb 2023.
  24. Daniel Krv{s}ek & Dylan Possamai, 2023. "Randomisation with moral hazard: a path to existence of optimal contracts," Papers 2311.13278, arXiv.org, revised Nov 2025.
  25. Alessandro Prosperi, 2022. "A partial stochastic equilibrium model and its limiting behaviour," Papers 2211.17231, arXiv.org.
  26. Kihun Nam, 2019. "Global Well-posedness of Non-Markovian Multidimensional Superquadratic BSDE," Papers 1912.03692, arXiv.org, revised Jan 2022.
  27. Peng Luo & Alexander Schied & Xiaole Xue, 2024. "The perturbation method applied to a robust optimization problem with constraint," Mathematics and Financial Economics, Springer, volume 18, number 4, December.
  28. Frei, Christoph, 2014. "Splitting multidimensional BSDEs and finding local equilibria," Stochastic Processes and their Applications, Elsevier, vol. 124(8), pages 2654-2671.
  29. Antonis Papapantoleon & Dylan Possamai & Alexandros Saplaouras, 2016. "Existence and uniqueness results for BSDEs with jumps: the whole nine yards," Papers 1607.04214, arXiv.org, revised Nov 2018.
  30. Martin Herdegen & Johannes Muhle-Karbe & Dylan Possamai, 2019. "Equilibrium Asset Pricing with Transaction Costs," Papers 1901.10989, arXiv.org, revised Sep 2020.
  31. Dmitry Kramkov & Sergio Pulido, 2016. "Stability and analytic expansions of local solutions of systems of quadratic BSDEs with applications to a price impact model," Post-Print hal-01181147, HAL.
  32. Constantinos Kardaras & Hao Xing & Gordan v{Z}itkovi'c, 2015. "Incomplete stochastic equilibria for dynamic monetary utility," Papers 1505.07224, arXiv.org, revised Feb 2017.
  33. Xing, Hao & Žitković, Gordan, 2018. "A class of globally solvable Markovian quadratic BSDE systems and applications," LSE Research Online Documents on Economics 73440, London School of Economics and Political Science, LSE Library.
  34. Jackson, Joe, 2023. "The reverse Hölder inequality for matrix-valued stochastic exponentials and applications to quadratic BSDE systems," Stochastic Processes and their Applications, Elsevier, vol. 160(C), pages 1-32.
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