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Article Dans Une Revue Stochastic Processes and their Applications Année : 2016

Multi-Dimensional Backward Stochastic Differential Equations of Diagonally Quadratic generators

Ying Hu
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Résumé

The paper is concerned with adapted solution of a multi-dimensional BSDE with a "diagonally" quadratic generator, the quadratic part of whose $i$th component only depends on the $i$th row of the second unknown variable. Local and global solutions are given. In our proofs, it is natural and crucial to apply both John-Nirenberg and reverse Hölder inequalities for BMO martingales.

Dates et versions

hal-01058817 , version 1 (28-08-2014)

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Citer

Ying Hu, Shanjian Tang. Multi-Dimensional Backward Stochastic Differential Equations of Diagonally Quadratic generators. Stochastic Processes and their Applications, 2016, 126 (4), pp.1066-1086. ⟨10.1016/j.spa.2015.10.011⟩. ⟨hal-01058817⟩
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