On the uniqueness of solutions to quadratic BSDEs with convex generators and unbounded terminal conditions: the critical case

DOI10.3934/dcds.2015.35.5273zbMath1335.60099arXiv1303.4859OpenAlexW2963491218MaRDI QIDQ255489

Adrien Richou, Ying Hu, Freddy Delbaen

Publication date: 9 March 2016

Published in: Discrete and Continuous Dynamical Systems (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1303.4859

zbMATH Keywords

uniquenessconvex generatorsquadratic backward stochastic differential equationsunbounded terminal conditions

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05)

Related Items (15)

On the Uniqueness of Solutions to Quadratic BSDEs with Non-convex Generators ⋮ Some results on general quadratic reflected BSDEs driven by a continuous martingale ⋮ Quadratic reflected BSDEs and related obstacle problems for PDEs ⋮ Quadratic BSDEs with mean reflection driven by G-brownian motion ⋮ Multi-dimensional backward stochastic differential equations of diagonally quadratic generators: the general result ⋮ MINIMAL AND MAXIMAL BOUNDED SOLUTIONS FOR QUADRATIC BSDES WITH STOCHASTIC CONDITIONS ⋮ BSDEs with diffusion constraint and viscous Hamilton-Jacobi equations with unbounded data ⋮ Existence and uniqueness results for BSDE with jumps: the whole nine yards ⋮ Backward stochastic differential equations with unbounded generators ⋮ Decoupling on the Wiener Space, Related Besov Spaces, and Applications to BSDEs ⋮ Equilibrium asset pricing with transaction costs ⋮ The convergence rate from discrete to continuous optimal investment stopping problem ⋮ Recursive utility processes, dynamic risk measures and quadratic backward stochastic Volterra integral equations ⋮ On the uniqueness of solutions to quadratic BSDEs with non-convex generators and unbounded terminal conditions ⋮ Numerical simulation of quadratic BSDEs

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