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arXiv · 2111.11131

On quadratic multidimensional type-I BSVIEs, infinite families of BSDEs and their applications

Camilo Hernández
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Abstract

This paper investigates multidimensional extended type-I BSVIEs and infinite families of BSDEs in the case of quadratic generators. We establish existence and uniqueness results in the case of fully quadratic as well as Lipschitz-quadratic quadratic generators. We also present and discuss a type of flow property satisfied by this family of BSVIEs. As a preliminary step, we establish the well-posedness of a class of infinite families of BSDEs, as introduced in Hern{\aa}ndez and Possama\"i [20], which are of interest in their own right. Our approach relies on the strategy developed by Tevsadze [49] for quadratic BSDEs and the treatment of Lipschitz extended type-I BSVIEs in [20]. We motivate their analysis of both of these objects by a series of practical applications.

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Camilo Hernández. 2021-11-22. On quadratic multidimensional type-I BSVIEs, infinite families of BSDEs and their applications. https://arxiv.org/abs/2111.11131

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