On the uniqueness of solutions to quadratic BSDEs with non-convex generators
Language
en
Chapitre d'ouvrage
This item was published in
Frontiers in stochastic analysis - BSDEs, SPDEs and their applications, Frontiers in stochastic analysis - BSDEs, SPDEs and their applications. 2019-09-01, vol. 289, p. 89--107
Springer
English Abstract
In this paper we prove some uniqueness results for quadratic backward stochastic differential equations without any convexity assumptions on the generator. The bounded case is revisited while some new results are obtained ...Read more >
In this paper we prove some uniqueness results for quadratic backward stochastic differential equations without any convexity assumptions on the generator. The bounded case is revisited while some new results are obtained in the unbounded case when the terminal condition and the generator depend on the path of a forward stochastic differential equation. Some of these results are based on strong estimates on Z that are interesting on their own and could be applied in other situations.Read less <
English Keywords
Backward stochastic differential equations
generator of quadratic growth
unbounded terminal condition
uniqueness result
Origin
Hal imported