Quadratic BSDEs with mean reflection
Quadratic BSDEs with mean reflection
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具有平均反射的二次 BSDE
DOI：
10.3934/mcrf.2018031
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发表时间：
2017-05
影响因子：
1.2
通讯作者：
Falei Wang
中科院分区：
文献类型：
--
作者：
Hélène Hibon;Ying Hu;Yiqing Lin;Peng Luo;Falei Wang
The present paper is devoted to the study of the well-posedness of BSDEs with mean reflection whenever the generator has quadratic growth in the \begin{document}$z$\end{document} argument. This work is the sequel of [ 6 ] in which a notion of BSDEs with mean reflection is developed to tackle the super-hedging problem under running risk management constraints. By the contraction mapping argument, we first prove that the quadratic BSDE with mean reflection admits a unique deterministic flat local solution on a small time interval whenever the terminal value is bounded. Moreover, we build the global solution on the whole time interval by stitching local solutions when the generator is uniformly bounded with respect to the \begin{document}$y$\end{document} argument.
The present paper is devoted to the study of the well-posedness of BSDEs with mean reflection whenever the generator has quadratic growth in the \begin{document}$z$\end{document} argument. This work is the sequel of [ 6 ] in which a notion of BSDEs with mean reflection is developed to tackle the super-hedging problem under running risk management constraints. By the contraction mapping argument, we first prove that the quadratic BSDE with mean reflection admits a unique deterministic flat local solution on a small time interval whenever the terminal value is bounded. Moreover, we build the global solution on the whole time interval by stitching local solutions when the generator is uniformly bounded with respect to the \begin{document}$y$\end{document} argument.
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DOI：
10.1007/3-540-28329-3
发表时间：
2006
期刊：
--
影响因子：
--
作者：
D. Rodón
通讯作者：
D. Rodón
影响因子：
2
作者：
P. Briand;Ying Hu
通讯作者：
P. Briand;Ying Hu
DOI：
10.1016/j.spa.2015.10.011
发表时间：
2014-08
期刊：
arXiv: Probability
影响因子：
--
作者：
Ying Hu;Shanjian Tang
通讯作者：
Ying Hu;Shanjian Tang
DOI：
10.1214/17-aop1190
发表时间：
2016-03
期刊：
arXiv: Probability
影响因子：
--
作者：
Hao Xing;Gordan vZitkovi'c
通讯作者：
Hao Xing;Gordan vZitkovi'c
影响因子：
1.4
作者：
Jonathan Harter;A. Richou
通讯作者：
Jonathan Harter;A. Richou