A Class of Multi-dimensional Backward Stochastic Differential Equations with Singular Generators exhibiting Diagonally Quadratic Growth and Applications

2025/07/04 by Wang, Wenbo, Jia, Guangyan
#FOS: Mathematics #Probability (math.PR)

paper · doi:10.48550/arxiv.2507.03348

Abstract

This paper investigate a class of multi-dimensional backward stochastic differential equations (BSDEs) with singualr generators exhibiting diagonally quadratic growth and unbounded terminal conditions, thereby extending results in the literature. We present an example of such equations in optimal investment decision.

Citations

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Related

• Multi-dimensional Backward Stochastic Differential Equations of Diagonally Quadratic Generators with a Special Structure
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• Multi-dimensional Mean-field Type Backward Stochastic Differential Equations with Diagonally Quadratic Generators
• Multi-Dimensional Backward Stochastic Differential Equations of Diagonally Quadratic generators
• Anticipated backward stochastic differential equations with quadratic growth