Markovian quadratic and superquadratic BSDEs with an unbounded terminal condition
| hal.structure.identifier | Institut de Mathématiques de Bordeaux [IMB] | |
| hal.structure.identifier | Advanced Learning Evolutionary Algorithms [ALEA] | |
| dc.contributor.author | RICHOU, Adrien | |
| dc.date.created | 2011-11-21 | |
| dc.date.issued | 2012-09 | |
| dc.identifier.issn | 0304-4149 | |
| dc.description.abstractEn | This article deals with the existence and the uniqueness of solutions to quadratic and superquadratic Markovian backward stochastic differential equations (BSDEs for short) with an unbounded terminal condition. Our results are deeply linked with a strong a priori estimate on $Z$ that takes advantage of the Markovian framework. This estimate allows us to prove the existence of a viscosity solution to a semilinear parabolic partial differential equation with nonlinearity having quadratic or superquadratic growth in the gradient of the solution. This estimate also allows us to give explicit convergence rates for time approximation of quadratic or superquadratic Markovian BSDEs. | |
| dc.language.iso | en | |
| dc.publisher | Elsevier | |
| dc.title.en | Markovian quadratic and superquadratic BSDEs with an unbounded terminal condition | |
| dc.type | Article de revue | |
| dc.identifier.doi | 10.1016/j.spa.2012.05.015 | |
| dc.subject.hal | Mathématiques [math]/Probabilités [math.PR] | |
| dc.identifier.arxiv | 1111.5137 | |
| bordeaux.journal | Stochastic Processes and their Applications | |
| bordeaux.page | 3173--3208 | |
| bordeaux.volume | 122 | |
| bordeaux.issue | 9 | |
| bordeaux.peerReviewed | oui | |
| hal.identifier | hal-00643198 | |
| hal.version | 1 | |
| hal.popular | non | |
| hal.audience | Internationale | |
| hal.origin.link | https://hal.archives-ouvertes.fr//hal-00643198v1 | |
| bordeaux.COinS | ctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.jtitle=Stochastic%20Processes%20and%20their%20Applications&rft.date=2012-09&rft.volume=122&rft.issue=9&rft.spage=3173--3208&rft.epage=3173--3208&rft.eissn=0304-4149&rft.issn=0304-4149&rft.au=RICHOU,%20Adrien&rft.genre=article |
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