A class of globally solvable Markovian quadratic BSDE systems and applications
A class of globally solvable Markovian quadratic BSDE systems and applications
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DOI：
10.1214/17-aop1190
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发表时间：
2016-03
期刊：
影响因子：
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通讯作者：
Hao Xing;Gordan vZitkovi'c
中科院分区：
文献类型：
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作者：
Hao Xing;Gordan vZitkovi'c
本文建立了一类具有二次非线性项的倒向随机微分方程（Besides）的马尔可夫系统解的存在唯一性。该类的特征在于对生成元的抽象结构假设、先验局部有界性和局部Holder连续终端条件。我们提出了易于验证的充分条件，这些假设和治疗几个应用，包括随机不完全金融市场的平衡，随机微分对策，和鞅的黎曼流形。
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 generator, an a-priori local-boundedness property, and a locally-Holder-continuous terminal condition. We present easily verifiable sufficient conditions for these assumptions and treat several applications, including stochastic equilibria in incomplete financial markets, stochastic differential games, and martingales on Riemannian manifolds.