1-4 September 2015
Angers - France
Europe/Paris timezone

Multi-Dimensional Backward Stochastic Differential Equations of Diagonally Quadratic generators

4 Sep 2015, 15:50
40m
Angers - France

Angers - France

Speaker

Mr Ying Hu (Université Rennes 1)

Description

The paper is concerned with adapted solution of a multi-dimensional BSDE with a "diagonally" quadratic generator, the quadratic part of whose ith component only depends on the ith row of the second unknown variable. Local and global solutions are given. In our proofs, it is natural and crucial to apply both John-Nirenberg and reverse H\"older inequalities for BMO martingales.

Primary author

Mr Ying Hu (Université Rennes 1)

Presentation Materials