数学年刊B辑(英文版)2024,Vol.45Issue(6) :855-868.DOI:10.1007/s11401-024-0042-4

Multi-dimensional Backward Stochastic Differential Equations of Diagonally Quadratic Generators with a Special Structure

Guang YANG
数学年刊B辑(英文版)2024,Vol.45Issue(6) :855-868.DOI:10.1007/s11401-024-0042-4

Multi-dimensional Backward Stochastic Differential Equations of Diagonally Quadratic Generators with a Special Structure

Guang YANG1
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作者信息

  • 1. Shanghai Center for Mathematical Sciences,Fudan University,Shanghai 200433,China
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Abstract

The present paper is devoted to the well-posedness of a type of multi-dimensional backward stochastic differential equations(BSDE for short)with a diagonally quadratic generator.The author gives a new priori estimate,and prove that the BSDE admits a unique solution on a given interval when the generator has a sufficiently small growth of the off-diagonal elements(i.e.,for each i,the i-th component of the generator has a small growth of the j-th row zj of the variable z for each j≠i).Finally,a solvability result is given when the diagonally quadratic generator is triangular.

Key words

Multi-dimensional BSDE/Diagonally quadratic generator/BMO martingale

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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
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