REVIEW 1 cited by
The reverse H\"older inequality for matrix-valued stochastic exponentials and applications to quadratic BSDE systems
Not yet reviewed by Pith; the record is open.
This paper has not been read by Pith yet. Machine review is queued; the pith claim, tier, and objections will appear here once it completes.
SPECIMEN: schema-true, not a live event
T0 review · schema-true
One-sentence machine reading of the paper's core claim.
pith:XXXXXXXX · record.json · timestamp
read the original abstract
In this paper, we study the connections between three concepts - the reverse H\"older inequality for matrix-valued martingales, the well-posedness of linear BSDEs with unbounded coefficients, and the well-posedness of quadratic BSDE systems. In particular, we show that a linear BSDE with bmo (bounded mean oscillation) coefficients is well-posed if and only if the stochastic exponential of a related matrix-valued martingale satisfies a reverse H\"older inequality. Furthermore, we give structural conditions under which these two equivalent conditions are satisfied. Finally, we apply our results on linear equations to obtain global well-posedness results for two new classes of non-Markovian quadratic BSDE systems with special structure.
Forward citations
Cited by 1 Pith paper
-
Sensitivity Analysis of Distributionally Robust BSDEs and RBSDEs
First-order sensitivities of non-Markovian distributionally robust control/stopping problems under L∞ and L2 drift perturbations equal the L1/L2 norms of the Z component of the corresponding (R)BSDE.
Discussion (0). Continue with ORCID to comment.