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math.PR2022
On quasilinear parabolic systems and FBSDEs of quadratic growth
Joe Jackson
Using probabilistic methods, we establish a-priori estimates for two classes of quasilinear parabolic systems of partial differential equations (PDEs). We treat in particular the c…
math.OC2022★ 1 cited
An algebraic convergence rate for the optimal control of McKean-Vlasov dynamics
Pierre Cardaliaguet, Samuel Daudin, Joe Jackson +1
We establish an algebraic rate of convergence in the large number of players limit of the value functions of N-particle stochastic control problems towards the value function of th…
math.PR2022★ 1 cited
The reverse Hölder inequality for matrix-valued stochastic exponentials and applications to quadratic BSDE systems
Joe Jackson
In this paper, we study the connections between three concepts - the reverse Hölder inequality for matrix-valued martingales, the well-posedness of linear BSDEs with unbounded coef…