数学年刊B辑(英文版)2024,Vol.45Issue(3) :441-462.DOI:10.1007/s11401-024-0022-8

Markovian Quadratic BSDEs with an Unbounded Sub-quadratic Growth

Jingnan JU Shanjian TANG
数学年刊B辑(英文版)2024,Vol.45Issue(3) :441-462.DOI:10.1007/s11401-024-0022-8

Markovian Quadratic BSDEs with an Unbounded Sub-quadratic Growth

Jingnan JU 1Shanjian TANG2
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作者信息

  • 1. Shanghai Center for Mathematical Sciences,Fudan University,Shanghai 200433,China
  • 2. Department of Finance and Control Sciences,School of Mathematical Sciences,Fudan University,Shanghai 200433,China
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Abstract

This paper is devoted to the solvability of Markovian quadratic backward s-tochastic differential equations(BSDEs for short)with bounded terminal conditions.The generator is allowed to have an unbounded sub-quadratic growth in the second unknown variable z.The existence and uniqueness results are given to these BSDEs.As an ap-plication,an existence result is given to a system of coupled forward-backward stochastic differential equations with measurable coefficients.

Key words

Markovian BSDE/Quadratic growth/Unbounded sub-quadratic term coefficients/Coupled FBSDE

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基金项目

国家自然科学基金(11631004)

国家自然科学基金(12031009)

出版年

2024
数学年刊B辑(英文版)
国家教育部委托复旦大学主办

数学年刊B辑(英文版)

CSTPCD
影响因子:0.129
ISSN:0252-9599
参考文献量22
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