solidot新版网站常见问题,请点击这里查看。
消息
本文已被查看7149次
BSDEs driven by $|z|^2/y$ and applications. (arXiv:1810.05664v1 [math.PR])
来源于:arXiv
Quadratic backward stochastic differential equations with singularity in the
value process appear in several applications, including stochastic control and
physics. In this paper, we prove existence and uniqueness of equations with
generators (dominated by a function) of the form $|z|^2/y$. In the particular
case where the BSDE is Markovian, we obtain existence of viscosity solutions of
singular quadratic PDEs with and without Neumann lateral boundaries, and rather
weak assumptions on the regularity of the coefficients. Furthermore, we show
how our results can be applied to optimization problems in finance. 查看全文>>