439 citations · 1.1k across the 55 of their papers we have counts for
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Existence, uniqueness, comparison theorem and stability theorem for unbounded solutions of scalar BSDEs with sub-quadratic generators
Shengjun Fan, Ying Hu
We first establish the existence of an unbounded solution to a backward stochastic differential equation (BSDE) with generator allowing a general growth in the state variable $…
Anticipated backward stochastic differential equations with quadratic growth
Ying Hu, Xun Li, Jiaqiang Wen
In this paper, we study the solvability of anticipated backward stochastic differential equations (BSDEs, for short) with quadratic growth for one-dimensional case and multi-dimens…
On the uniqueness of solutions to quadratic BSDEs with non-convex generators and unbounded terminal conditions
Shengjun Fan, Ying Hu, Shanjian Tang
We prove a uniqueness result of the unbounded solution for a quadratic backward stochastic differential equation whose terminal condition is unbounded and whose generator may b…
Existence and uniqueness of solution to scalar BSDEs with -integrable terminal values: the critical case
Shengjun Fan, Ying Hu
In \cite{HuTang2018ECP}, the existence of the solution is proved for a scalar linearly growing backward stochastic differential equation (BSDE) when the terminal value is $L\exp\le…
Forward and Backward Stochastic Differential Equations with normal constraint in law
Philippe Briand, Pierre Cardaliaguet, Paul-Éric Chaudru de Raynal +1
In this paper we investigate the well-posedness of backward or forward stochastic differential equations whose law is constrained to live in an a priori given (smooth enough) set a…