Multi-Dimensional Backward Stochastic Differential Equations of Diagonally Quadratic generators
arXiv:1408.4579
Abstract
The paper is concerned with adapted solution of a multi-dimensional BSDE with a "diagonally" quadratic generator, the quadratic part of whose th component only depends on the th 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 Hölder inequalities for BMO martingales.
17 pages