Quadratic BSDE with \(\mathbb{L}^{2}\)-terminal data: Krylov's estimate, Itô-Krylov's formula and existence results

DOI10.1214/16-AOP1115zbMath1379.60057MaRDI QIDQ2406565

M'hamed Eddahbi, Khaled Bahlali, Youssef Ouknine

Publication date: 5 October 2017

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.aop/1502438430

zbMATH Keywords

viscosity solutionlocal timeTanaka formulaquadratic backward stochastic differential equationsItô-Krylov formulaKrylov inequalitysquare-integrable terminal condition

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integral equations (60H20)

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