56 citations · 76 across the 3 of their papers we have counts for
3 papers
math.PR2020★ 1 cited
A characterization of solutions of quadratic BSDEs and a new approach to existence
Joseph Jackson, Gordan Žitković
We provide a novel characterization of the solutions of a quadratic BSDE, which is analogous to the characterization of local martingales by convex functions. We then use our main…
math.PR2016★ 19 cited
A class of globally solvable Markovian quadratic BSDE systems and applications
Hao Xing, Gordan Žitković
We establish existence and uniqueness for a wide class of Markovian systems of backward stochastic differential equations (BSDE) with quadratic nonlinearities. This class is charac…
q-fin.CP2008★ 56 cited
A dual characterization of self-generation and exponential forward performances
Gordan Žitković
We propose a mathematical framework for the study of a family of random fields--called forward performances--which arise as numerical representation of certain rational preference…