Publikation: Multidimensional Markovian FBSDEs with super-quadratic growth
Lade...
Dateien
Zu diesem Dokument gibt es keine Dateien.
Datum
2019
Autor:innen
Herausgeber:innen
ISSN der Zeitschrift
Electronic ISSN
ISBN
Bibliografische Daten
Verlag
Schriftenreihe
Auflagebezeichnung
DOI (zitierfähiger Link)
Internationale Patentnummer
Angaben zur Forschungsförderung
Projekt
Open Access-Veröffentlichung
Sammlungen
Core Facility der Universität Konstanz
Titel in einer weiteren Sprache
Publikationstyp
Zeitschriftenartikel
Publikationsstatus
Published
Erschienen in
Stochastic Processes and their Applications. 2019, 129(3), pp. 902-923. ISSN 0304-4149. eISSN 1879-209X. Available under: doi: 10.1016/j.spa.2018.03.024
Zusammenfassung
We give local and global existence and uniqueness results for multidimensional coupled FBSDEs for generators with arbitrary growth in the control variable. The local existence result is based on Malliavin calculus arguments for Markovian equations. Under additional monotonicity conditions on the generator we construct global solutions by a pasting technique along PDE solutions.
Zusammenfassung in einer weiteren Sprache
Fachgebiet (DDC)
510 Mathematik
Schlagwörter
Konferenz
Rezension
undefined / . - undefined, undefined
Zitieren
ISO 690
KUPPER, Michael, Peng LUO, Ludovic TANGPI, 2019. Multidimensional Markovian FBSDEs with super-quadratic growth. In: Stochastic Processes and their Applications. 2019, 129(3), pp. 902-923. ISSN 0304-4149. eISSN 1879-209X. Available under: doi: 10.1016/j.spa.2018.03.024BibTex
@article{Kupper2019Multi-44863, year={2019}, doi={10.1016/j.spa.2018.03.024}, title={Multidimensional Markovian FBSDEs with super-quadratic growth}, number={3}, volume={129}, issn={0304-4149}, journal={Stochastic Processes and their Applications}, pages={902--923}, author={Kupper, Michael and Luo, Peng and Tangpi, Ludovic} }
RDF
<rdf:RDF xmlns:dcterms="http://purl.org/dc/terms/" xmlns:dc="http://purl.org/dc/elements/1.1/" xmlns:rdf="http://www.w3.org/1999/02/22-rdf-syntax-ns#" xmlns:bibo="http://purl.org/ontology/bibo/" xmlns:dspace="http://digital-repositories.org/ontologies/dspace/0.1.0#" xmlns:foaf="http://xmlns.com/foaf/0.1/" xmlns:void="http://rdfs.org/ns/void#" xmlns:xsd="http://www.w3.org/2001/XMLSchema#" > <rdf:Description rdf:about="https://kops.uni-konstanz.de/server/rdf/resource/123456789/44863"> <dc:contributor>Kupper, Michael</dc:contributor> <bibo:uri rdf:resource="https://kops.uni-konstanz.de/handle/123456789/44863"/> <foaf:homepage rdf:resource="http://localhost:8080/"/> <dspace:isPartOfCollection rdf:resource="https://kops.uni-konstanz.de/server/rdf/resource/123456789/39"/> <dc:creator>Luo, Peng</dc:creator> <dc:language>eng</dc:language> <dcterms:abstract xml:lang="eng">We give local and global existence and uniqueness results for multidimensional coupled FBSDEs for generators with arbitrary growth in the control variable. The local existence result is based on Malliavin calculus arguments for Markovian equations. Under additional monotonicity conditions on the generator we construct global solutions by a pasting technique along PDE solutions.</dcterms:abstract> <dcterms:isPartOf rdf:resource="https://kops.uni-konstanz.de/server/rdf/resource/123456789/39"/> <dc:contributor>Luo, Peng</dc:contributor> <dc:creator>Kupper, Michael</dc:creator> <dcterms:issued>2019</dcterms:issued> <dc:contributor>Tangpi, Ludovic</dc:contributor> <void:sparqlEndpoint rdf:resource="http://localhost/fuseki/dspace/sparql"/> <dcterms:available rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2019-02-05T14:46:55Z</dcterms:available> <dc:date rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2019-02-05T14:46:55Z</dc:date> <dc:creator>Tangpi, Ludovic</dc:creator> <dcterms:title>Multidimensional Markovian FBSDEs with super-quadratic growth</dcterms:title> </rdf:Description> </rdf:RDF>
Interner Vermerk
xmlui.Submission.submit.DescribeStep.inputForms.label.kops_note_fromSubmitter
Prüfungsdatum der Dissertation
Finanzierungsart
Kommentar zur Publikation
Allianzlizenz
Corresponding Authors der Uni Konstanz vorhanden
Internationale Co-Autor:innen
Universitätsbibliographie
Ja
Begutachtet
Ja