Anticipated backward stochastic differential equations with quadratic growth (Q2208474)

The authors study anticipated backward stochastic differential equation (ABSDE, or anticipated BSDE, for short) that appears as an adjoint process when dealing with optimal control problems under delayed systems. It is assumed that the generator of ABSDE grows quadratically in the second component of the solution. The main problem that is considered is the solvability of ABSDE with quadratic growth both for one- and multi-dimensional case. The existence and uniqueness of the solution for such BSDEs, under different conditions of growth of generator in other variables are derived for several terminal situations, including small terminal value, bounded terminal value and unbounded terminal value.