Extends one-dimensional BSDE theory for singular generators |z|^2/y to multi-dimensional diagonally quadratic systems with unbounded terminal data, and gives a regime-switching portfolio application.
Multi-dimensional backward stochastic differential equa- tions of diagonally quadratic generators: the general result
1 Pith paper cite this work. Polarity classification is still indexing.
1
Pith paper citing it
citation-role summary
method 1
citation-polarity summary
fields
math.PR 1years
2025 1verdicts
CONDITIONAL 1roles
method 1polarities
use method 1representative citing papers
citing papers explorer
-
A Class of Multi-dimensional Backward Stochastic Differential Equations with Singular Generators exhibiting Diagonally Quadratic Growth and Applications
Extends one-dimensional BSDE theory for singular generators |z|^2/y to multi-dimensional diagonally quadratic systems with unbounded terminal data, and gives a regime-switching portfolio application.