Author
Peng Luo
Other affiliations: ETH Zurich, Shandong University, University of Konstanz ...read more
Bio: Peng Luo is an academic researcher from Shanghai Jiao Tong University. The author has contributed to research in topics: Stochastic differential equation & Uniqueness. The author has an hindex of 7, co-authored 40 publications receiving 202 citations. Previous affiliations of Peng Luo include ETH Zurich & Shandong University.
Papers
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TL;DR: In this paper, the authors give local and global existence and uniqueness results for multidimensional coupled FBSDEs for generators with arbitrary growth in the control variable, based on Malliavin calculus arguments for Markovian equations.
36 citations
TL;DR: In this article, the integration of a stochastic differential equation driven by G -Brownian motion (G -SDE for short) in R can be reduced to integration of an ODE parameterized by a variable in ( Ω, F ).
31 citations
TL;DR: In this article, the well-posedness of multi-dimensional and coupled systems of forward-backward SDEs was studied when the generator can be separated into a quadratic and a subquadratic part.
Abstract: We study the well-posedness for multi-dimensional and coupled systems of forward–backward SDEs when the generator can be separated into a quadratic and a subquadratic part. We obtain the existence and uniqueness of the solution on a small time interval. Moreover, the continuity and differentiability with respect to the initial value are presented.
24 citations
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TL;DR: In this article, the authors considered multidimensional quadratic BSDEs with bounded and unbounded terminal conditions and provided sufficient conditions which guarantee existence and uniqueness of solutions, in particular, these conditions are satisfied if the terminal condition or the dependence in the system are small enough.
Abstract: We consider multidimensional quadratic BSDEs with bounded and unbounded terminal conditions. We provide sufficient conditions which guarantee existence and uniqueness of solutions. In particular, these conditions are satisfied if the terminal condition or the dependence in the system are small enough.
18 citations
TL;DR: In this paper, the authors considered multidimensional quadratic BSDEs with bounded and unbounded terminal conditions and provided sufficient conditions which guarantee existence and uniqueness of solutions, in particular, these conditions are satisfied if the terminal condition or the dependence in the system are small enough.
Abstract: We consider multidimensional quadratic BSDEs with bounded and unbounded terminal conditions. We provide sufficient conditions which guarantee existence and uniqueness of solutions. In particular, these conditions are satisfied if the terminal condition or the dependence in the system are small enough.
18 citations
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01 Jan 1998
TL;DR: In this paper, the authors explore questions of existence and uniqueness for solutions to stochastic differential equations and offer a study of their properties, using diffusion processes as a model of a Markov process with continuous sample paths.
Abstract: We explore in this chapter questions of existence and uniqueness for solutions to stochastic differential equations and offer a study of their properties. This endeavor is really a study of diffusion processes. Loosely speaking, the term diffusion is attributed to a Markov process which has continuous sample paths and can be characterized in terms of its infinitesimal generator.
2,446 citations
01 Jan 2016
TL;DR: The stochastic differential equations and applications is universally compatible with any devices to read, and an online access to it is set as public so you can get it instantly.
Abstract: stochastic differential equations and applications is available in our digital library an online access to it is set as public so you can get it instantly. Our books collection saves in multiple locations, allowing you to get the most less latency time to download any of our books like this one. Kindly say, the stochastic differential equations and applications is universally compatible with any devices to read.
741 citations
TL;DR: In this paper, the authors study one-dimensional quadratic backward stochastic differential equations driven by Brownian motions with unbounded terminal values and propose an approximation procedure to prove existence and uniqueness.
Abstract: In this paper, we first study one-dimensional quadratic backward stochastic differential equations driven by $G$-Brownian motions ($G$-BSDEs) with unbounded terminal values. With the help of a $\theta$-method of Briand and Hu [4] and nonlinear stochastic analysis techniques, we propose an approximation procedure to prove existence and uniqueness result when the generator is convex (or concave) and terminal value is of exponential moments of arbitrary order. Finally, we also establish the well-posedness of multi-dimensional G-BSDEs with diagonally quadratic generators.
132 citations