英文标题：
《Systems of ergodic BSDEs arising in regime switching forward performance
processes》
---
作者：
Ying Hu, Gechun Liang, Shanjian Tang
---
最新提交年份：
2020
---
英文摘要：
We introduce and solve a new type of quadratic backward stochastic differential equation systems defined in an infinite time horizon, called \\emph{ergodic BSDE systems}. Such systems arise naturally as candidate solutions to characterize forward performance processes and their associated optimal trading strategies in a regime switching market. In addition, we develop a connection between the solution of the ergodic BSDE system and the long-term growth rate of classical utility maximization problems, and use the ergodic BSDE system to study the large time behavior of PDE systems with quadratic growth Hamiltonians.
---
中文摘要：
我们引入并求解了一类定义在无限时间范围内的二次倒向随机微分方程组，称为emph{遍历BSDE系统}。此类系统自然会作为候选解决方案出现，以描述制度转换市场中的远期绩效过程及其相关的最优交易策略。此外，我们建立了遍历BSDE系统的解与经典效用最大化问题的长期增长率之间的联系，并利用遍历BSDE系统研究了具有二次增长哈密顿量的PDE系统的大时间行为。
---
分类信息：

一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
--
一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
--

---
PDF下载：
-->