A simple constructive approach to quadratic BSDEs with or without delay

Citations

Cited by:

1. Daniel Krv{s}ek & Dylan Possamai, 2023. "Randomisation with moral hazard: a path to existence of optimal contracts," Papers 2311.13278, arXiv.org.
2. 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.
3. 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.
4. Alessandro Prosperi, 2022. "A partial stochastic equilibrium model and its limiting behaviour," Papers 2211.17231, arXiv.org.
5. 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.
6. 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.
7. Kihun Nam, 2019. "Global Well-posedness of Non-Markovian Multidimensional Superquadratic BSDE," Papers 1912.03692, arXiv.org, revised Jan 2022.
8. 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.
9. 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.
10. Kim Weston & Gordan Žitković, 2020. "An incomplete equilibrium with a stochastic annuity," Finance and Stochastics, Springer, vol. 24(2), pages 359-382, April.
11. 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.
12. 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.
13. 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.
14. 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.
15. Kim Weston & Gordan Zitkovic, 2018. "An incomplete equilibrium with a stochastic annuity," Papers 1809.05947, arXiv.org.
16. Frei, Christoph, 2014. "Splitting multidimensional BSDEs and finding local equilibria," Stochastic Processes and their Applications, Elsevier, vol. 124(8), pages 2654-2671.
17. 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.
18. 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.
19. Martin Herdegen & Johannes Muhle-Karbe & Dylan Possamai, 2019. "Equilibrium Asset Pricing with Transaction Costs," Papers 1901.10989, arXiv.org, revised Sep 2020.
20. 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.
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.
    • Vicky Henderson & Gechun Liang, 2014. "Pseudo Linear Pricing Rule for Utility Indifference Valuation," Papers 1403.7830, arXiv.org.
22. 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.
23. 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.
24. 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.
25. 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.
26. Ludovic Tangpi & Xuchen Zhou, 2022. "Optimal Investment in a Large Population of Competitive and Heterogeneous Agents," Papers 2202.11314, arXiv.org, revised Feb 2023.
27. 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.
28. 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.
29. 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.