A stability approach for solving multidimensional quadratic BSDES
Language
en
Article de revue
This item was published in
Electronic Journal of Probability. 2019, vol. 24
Institute of Mathematical Statistics (IMS)
English Abstract
We establish an existence and uniqueness result for a class of multidimensional quadratic backward stochastic differential equations (BSDEs). This class is characterized by constraints on some uniform a priori estimates ...Read more >
We establish an existence and uniqueness result for a class of multidimensional quadratic backward stochastic differential equations (BSDEs). This class is characterized by constraints on some uniform a priori estimates on solutions of a sequence of approximated BSDEs. We also present effective examples of applications. Our approach relies on the strategy developed by Briand and Elie in [Stochastic Process. Appl. 123 2921–2939] concerning scalar quadratic BSDEs.Read less <
English Keywords
Quadratic BSDEs
BSDE
Origin
Hal imported