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dc.contributor.advisorCheridito, Patricken_US
dc.contributor.authorNam, Kihunen_US
dc.contributor.otherApplied and Computational Mathematics Departmenten_US
dc.description.abstractThis thesis focuses mainly on the well-posedness of backward stochastic differential equations: [ Y_t=xi+int_t^Tf(s,Y_s,Z_s)ds-int_t^TZ_sdW_s ] The most prevalent method for showing the well-posedness of BSDE is to use the Banach fixed point theorem on a space of stochastic processes. Another notable method is to use the comparison theorem and limiting argument. We present three other methods in this thesis: 1. Fixed point theorems on the space of random variables 2. BMO martingale theory and Girsanov transform 3. Malliavin calculus Using these methods, we prove the existence and uniqueness of solution for multidimensional BSDEs with superlinear drivers which have not been studied in the previous literature. Examples include quadratic mean-field BSDEs with $L^2$ terminal conditions, quadratic Markovian BSDEs with bounded terminal conditions, subquadratic BSDEs with bounded terminal conditions, and superquadratic Markovian BSDEs with terminal conditions that have bounded Malliavin derivatives. Along the way, we also prove the well-posedness for backward stochastic equations, mean-field BSDEs with jumps, and BSDEs with functional drivers. In the last chapter, we explore the relationship between BSDEs with superquadratic driver and semilinear parabolic PDEs with superquadratic nonlinearities in the gradients of solutions. In particular, we study the cases where there is no boundary or there is a Dirichlet or Neumann lateral boundary condition.en_US
dc.publisherPrinceton, NJ : Princeton Universityen_US
dc.relation.isformatofThe Mudd Manuscript Library retains one bound copy of each dissertation. Search for these copies in the <a href=> library's main catalog </a>en_US
dc.subjectBackward Stochastic Differential Equationsen_US
dc.subjectFixed Point Theoremen_US
dc.subjectGirsanov transformen_US
dc.subjectMalliavin calculusen_US
dc.subject.classificationApplied mathematicsen_US
dc.titleBackward Stochastic Differential Equations with Superlinear Driversen_US
dc.typeAcademic dissertations (Ph.D.)en_US
Appears in Collections:Applied and Computational Mathematics

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