Please use this identifier to cite or link to this item:
http://hdl.handle.net/10397/93881
DC Field | Value | Language |
---|---|---|
dc.contributor | Department of Applied Mathematics | en_US |
dc.creator | Hu, Y | en_US |
dc.creator | Li, X | en_US |
dc.creator | Wen, J | en_US |
dc.date.accessioned | 2022-08-03T01:24:04Z | - |
dc.date.available | 2022-08-03T01:24:04Z | - |
dc.identifier.issn | 0022-0396 | en_US |
dc.identifier.uri | http://hdl.handle.net/10397/93881 | - |
dc.language.iso | en | en_US |
dc.publisher | Academic Press | en_US |
dc.rights | © 2020 Elsevier Inc. All rights reserved. | en_US |
dc.rights | © 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/ | en_US |
dc.rights | 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 | en_US |
dc.subject | Anticipated backward stochastic differential equation | en_US |
dc.subject | Backward stochastic differential equation | en_US |
dc.subject | Quadratic generator | en_US |
dc.subject | Time-advanced | en_US |
dc.title | Anticipated backward stochastic differential equations with quadratic growth | en_US |
dc.type | Journal/Magazine Article | en_US |
dc.identifier.spage | 1298 | en_US |
dc.identifier.epage | 1331 | en_US |
dc.identifier.volume | 270 | en_US |
dc.identifier.doi | 10.1016/j.jde.2020.07.001 | en_US |
dcterms.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. | en_US |
dcterms.accessRights | open access | en_US |
dcterms.bibliographicCitation | Journal of differential equations, 5 Jan. 2021, v. 270, p. 1298-1331 | en_US |
dcterms.isPartOf | Journal of differential equations | en_US |
dcterms.issued | 2021-01-05 | - |
dc.identifier.scopus | 2-s2.0-85091385811 | - |
dc.identifier.eissn | 1090-2732 | en_US |
dc.description.validate | 202208 bcfc | en_US |
dc.description.oa | Accepted Manuscript | en_US |
dc.identifier.FolderNumber | AMA-0084 | - |
dc.description.fundingSource | RGC | en_US |
dc.description.pubStatus | Published | en_US |
dc.identifier.OPUS | 52646729 | - |
Appears in Collections: | Journal/Magazine Article |
Files in This Item:
File | Description | Size | Format | |
---|---|---|---|---|
Li_Anticipated_Backward_Stochastic.pdf | Pre-Published versions | 975.65 kB | Adobe PDF | View/Open |
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