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Backward stochastic differential equations with a convex generator
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Besik Chikvinidze
Veröffentlicht/Copyright:
29. Februar 2012
Abstract.
Backward stochastic differential equations (BSDEs) with convex generators of quadratic growth are considered. The existence of a solution is proved for such equations driven by a continuous martingale with unbounded characteristic. A suitable optimization problem is formulated and it is shown that the corresponding value process satisfies BSDEs.
Received: 2010-08-30
Published Online: 2012-02-29
Published in Print: 2012-March
© 2012 by Walter de Gruyter Berlin Boston
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Schlagwörter für diesen Artikel
Backward stochastic differential equation;
value process;
semimartingale
Artikel in diesem Heft
- Masthead
- Stability estimates for the multidimensional elliptic obstacle problem
- On the two-point boundary value problems for linear impulsive systems with singularities
- Explicit solutions of the boundary value problems of the theory of consolidation with double porosity for the half-plane
- Convergence of modification of the Durrmeyer type -Baskakov operators
- Backward stochastic differential equations with a convex generator
- On some ideal defined by density topology in the Cantor set
- Maximal operator of the Fejér means of triangular partial sums of two-dimensional Walsh–Fourier series
- Fixed point theorems for hybrid mappings satisfying an integral type contractive condition
- On the nonexistence of blowing-up solutions to a fractional functional-differential equation
- Two-weight inequalities for multilinear maximal operators
- An asymptotic model of a nonlinear adaptive orthotropic elastic rod
- Approximation of functions on locally compact abelian groups
