A note on the existence of solutions to Markovian superquadratic BSDEs with an unbounded terminal condition (Q388919): Difference between revisions
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| Property / DOI: 10.1214/EJP.v18-2124 / rank | |||
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From the author's abstract: In [Stochastic Processes Appl. 122, No. 9, 3173--3208 (2012; Zbl 1254.60066)], the first author proved the existence and the uniqueness of solutions to Markovian superquadratic BSDEs with an unbounded terminal condition when the generator and the terminal condition are locally Lipschitz. In this paper, we prove that the existence result remains true for these BSDEs when the regularity assumption on the terminal condition is weakened. | |||
| Property / review text: From the author's abstract: In [Stochastic Processes Appl. 122, No. 9, 3173--3208 (2012; Zbl 1254.60066)], the first author proved the existence and the uniqueness of solutions to Markovian superquadratic BSDEs with an unbounded terminal condition when the generator and the terminal condition are locally Lipschitz. In this paper, we prove that the existence result remains true for these BSDEs when the regularity assumption on the terminal condition is weakened. / rank | |||
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| Property / reviewed by | |||
| Property / reviewed by: Nikolaos Halidias / rank | |||
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 60H10 / rank | |||
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| Property / zbMATH DE Number | |||
| Property / zbMATH DE Number: 6247219 / rank | |||
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| Property / zbMATH Keywords | |||
backward stochastic differential equation | |||
| Property / zbMATH Keywords: backward stochastic differential equation / rank | |||
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| Property / zbMATH Keywords | |||
generator of superquadratic growth | |||
| Property / zbMATH Keywords: generator of superquadratic growth / rank | |||
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| Property / zbMATH Keywords | |||
unbounded terminal condition | |||
| Property / zbMATH Keywords: unbounded terminal condition / rank | |||
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| Property / zbMATH Keywords | |||
existence result | |||
| Property / zbMATH Keywords: existence result / rank | |||
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| Property / MaRDI profile type: MaRDI publication profile / rank | |||
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| Property / arXiv ID | |||
| Property / arXiv ID: 1206.7030 / rank | |||
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| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W2023323675 / rank | |||
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| Property / DOI | |||
| Property / DOI: 10.1214/EJP.V18-2124 / rank | |||
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Latest revision as of 16:05, 9 December 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A note on the existence of solutions to Markovian superquadratic BSDEs with an unbounded terminal condition |
scientific article |
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A note on the existence of solutions to Markovian superquadratic BSDEs with an unbounded terminal condition (English)
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17 January 2014
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From the author's abstract: In [Stochastic Processes Appl. 122, No. 9, 3173--3208 (2012; Zbl 1254.60066)], the first author proved the existence and the uniqueness of solutions to Markovian superquadratic BSDEs with an unbounded terminal condition when the generator and the terminal condition are locally Lipschitz. In this paper, we prove that the existence result remains true for these BSDEs when the regularity assumption on the terminal condition is weakened.
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backward stochastic differential equation
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generator of superquadratic growth
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unbounded terminal condition
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existence result
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