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http://hdl.handle.net/10397/93881
Title: | Anticipated backward stochastic differential equations with quadratic growth | Authors: | Hu, Y Li, X Wen, J |
Issue Date: | 5-Jan-2021 | Source: | Journal of differential equations, 5 Jan. 2021, v. 270, p. 1298-1331 | Abstract: | In this paper, we study the solvability of anticipated backward stochastic differential equations (BSDEs, for short) with quadratic growth for one-dimensional case and multi-dimensional case. In these BSDEs, the generator f(⋅), which is of quadratic growth in Z⋅, involves not only the present information of solution (Y⋅,Z⋅) but also its future one. The existence and uniqueness of such BSDEs, under different conditions, are derived for several terminal situations, including small terminal value, bounded terminal value and unbounded terminal value. | Keywords: | Anticipated backward stochastic differential equation Backward stochastic differential equation Quadratic generator Time-advanced |
Publisher: | Academic Press | Journal: | Journal of differential equations | ISSN: | 0022-0396 | EISSN: | 1090-2732 | DOI: | 10.1016/j.jde.2020.07.001 | Rights: | © 2020 Elsevier Inc. All rights reserved. © 2020. This manuscript version is made available under the CC-BY-NC-ND 4.0 license https://creativecommons.org/licenses/by-nc-nd/4.0/ The following publication Hu, Y., Li, X., & Wen, J. (2021). Anticipated backward stochastic differential equations with quadratic growth. Journal of Differential Equations, 270, 1298-1331 is available at https://doi.org/10.1016/j.jde.2020.07.001 |
Appears in Collections: | Journal/Magazine Article |
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Li_Anticipated_Backward_Stochastic.pdf | Pre-Published versions | 975.65 kB | Adobe PDF | View/Open |
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