作者：Possamai, Dylan; Tan, Xiaolu; Zhou, Chao
作者单位：Universite PSL; Universite Paris-Dauphine; National University of Singapore
摘要：We consider a stochastic control problem for a class of nonlinear kernels. More precisely, our problem of interest consists in the optimization, over a set of possibly nondominated probability measures, of solutions of backward stochastic differential equations (BSDEs). Since BSDEs are nonlinear generalizations of the traditional (linear) expectations, this problem can be understood as stochastic control of a family of nonlinear expectations, or equivalently of nonlinear kernels. Our first mai...
作者：Xing, Hao; Zitkovic, Gordan
作者单位：University of London; London School Economics & Political Science; University of Texas System; University of Texas Austin
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 ma...
