A new existence result for second-order BSDEs with quadratic growth and their applications |
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| Authors: | Yiqing Lin |
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| Institution: | 1. Fakult?t für Mathematik, Universit?t Wien ,
1090 Wien, Austria;2. Institut de Recherche Mathématique de Rennes, Université de Rennes 1 ,
35042 Rennes Cedex, France yiqing.lin@univie.ac.at |
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| Abstract: | In this paper, we study a class of second-order backward stochastic differential equations with quadratic growth in coefficients. In particular, we provide an existence result for these equations and give their applications by solving robust utility maximization problems and introducing a type of nonlinear evaluations. |
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| Keywords: | second-order BSDEs quadratic growth robust utility maximization nonlinear evaluations |
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