Existence of solution to scalar BSDEs with \(L\exp\left(\sqrt {\frac{2}{\lambda}\log(1+L)}\right)\)-integrable terminal values
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Publication:1748581
DOI10.1214/18-ECP127zbMath1390.60208MaRDI QIDQ1748581
Publication date: 11 May 2018
Published in: Electronic Communications in Probability (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.ecp/1524881135
backward stochastic differential equationdual representation\(L\exp\left(\sqrt{{2}{\lambda}\log(1+L)}\right)\) integrabilityterminal condition
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Cites Work
- On the uniqueness of solutions to quadratic BSDEs with convex generators and unbounded terminal conditions
- Adapted solution of a backward stochastic differential equation
- Backward stochastic differential equations with continuous coefficient
- BSDE with quadratic growth and unbounded terminal value
- Dual representation as stochastic differential games of backward stochastic differential equations and dynamic evaluations
- \(L^p\) solutions of backward stochastic differential equations.
- Backward Stochastic Differential Equations in Finance
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