A CLASS OF GLOBALLY SOLVABLE MARKOVIAN QUADRATIC BSDE SYSTEMS AND APPLICATIONS

• 成果类型: Article
• 署名作者: Xing, Hao; Zitkovic, Gordan
• 署名单位: University of London; London School Economics & Political Science; University of Texas System; University of Texas Austin
• 刊物名称: ANNALS OF PROBABILITY
• ISSN/ISSBN: 0091-1798
• DOI: 10.1214/17-AOP1190
• 发表日期: 2018
• 页码: 491-550
• 关键词: STOCHASTIC DIFFERENTIAL-EQUATIONS; holder continuity; WEAK SOLUTIONS; HARMONIC MAPS; equilibrium; MARKETS; pde

摘要

We establish existence and uniqueness for a wide class of Markovian systems of backward stochastic differential equations (BSDE) with quadratic nonlinearities. This class is characterized by an abstract structural assumption on the generator, an a priori local-boundedness property, and a locally-Holder-continuous terminal condition. We present easily verifiable sufficient conditions for these assumptions and treat several applications, including stochastic equilibria in incomplete financial markets, stochastic differential games and martingales on Riemannian manifolds.