2 papers
math.PR2026
Rough backward stochastic differential equations
Peter K. Friz, Jian Song, Huilin Zhang +1
We develop an intrinsic well-posedness theory for nonlinear backward stochastic differential equations (BSDEs) driven simultaneously by Brownian motion and a (level-) rough path…
math.OC2026
Mean-field quadratic BSDEs and related mean-field portfolio games of controls
Huilin Zhang
We study a new class of mean-field quadratic backward stochastic differential equations (qBSDEs) arising from mean-field portfolio games with exponential utility. Typical examples…