A stability approach for solving multidimensional quadratic BSDES
Langue
en
Article de revue
Ce document a été publié dans
Electronic Journal of Probability. 2019, vol. 24
Institute of Mathematical Statistics (IMS)
Résumé en anglais
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 ...Lire la suite >
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.< Réduire
Mots clés en anglais
Quadratic BSDEs
BSDE
Origine
Importé de halUnités de recherche