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math.PR2024
Multi-dimensional non-Markovian backward stochastic differential equations of interactively quadratic generators
Shengjun Fan, Ying Hu, Shanjian Tang
This paper is devoted to a general solvability of multi-dimensional non-Markovian backward stochastic differential equations (BSDEs) with interactively quadratic generators. Some g…
math.PR2024
Unbounded Dynamic Concave Utilities via BSDEs
Shengjun Fan, Ying Hu, Shanjian Tang
The dynamic concave utility (or the dynamic convex risk measure) of an unbounded endowment is studied and represented as the value process in the unique solution of a backward stoc…