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20232025
most cited1D nonlinear backward stochastic differential equations: a unified theory and applications

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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…