A stability approach for solving multidimensional quadratic BSDEs
A stability approach for solving multidimensional quadratic BSDEs
复制标题
DOI：
10.1214/18-ejp260
复制
发表时间：
2016-06
影响因子：
1.4
通讯作者：
Jonathan Harter;A. Richou
中科院分区：
文献类型：
--
作者：
Jonathan Harter;A. Richou
建立了一类多维二次倒向随机微分方程解的存在唯一性结果。这一类的特点是约束的一些统一的先验估计的解决方案的一系列近似BSDES。我们还提出了有效的应用程序的例子。我们的方法依赖于Briand和Elie在[Stochastic Process. Appl.1232921 - 2939]关于标量二次倒向随机微分方程。
We establish an existence and uniqueness result for a class of multidimensional quadratic backward stochastic differential equations (BSDE). This class is characterized by constraints on some uniform a priori estimate on solutions of a sequence of approximated BSDEs. We also present effective examples of applications. Our approach relies on the strategy developed by Briand and Elie in [Stochastic Process. Appl. 123 2921--2939] concerning scalar quadratic BSDEs.