A type of globally solvable BSDEs with triangularly quadratic generators (Q2201488)
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scientific article
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| English | A type of globally solvable BSDEs with triangularly quadratic generators |
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A type of globally solvable BSDEs with triangularly quadratic generators (English)
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29 September 2020
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This paper is mainly focused on the study of the well-posedness of a type of BSDEs with triangularly quadratic generators. Though adopting the contraction mapping argument, the author showed that the type of triangularly quadratic BSDEs admits a unique local solution on a small time interval whenever the terminal value is bounded. In addition, by stitching local solutions, the global solution on the whole time interval was studied and solvability results were given.
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BSDEs
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triangularly quadratic generators
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BMO martingales
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path dependence
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0.796500027179718
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0.792354166507721
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0.791823148727417
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0.7895514369010925
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0.7852567434310913
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