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.
Adapted solution of a backward stochastic differential equation
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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.