Quadratic BSDE with \(\mathbb{L}^{2}\)-terminal data: Krylov's estimate, Itô-Krylov's formula and existence results (Q2406565)
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English | Quadratic BSDE with \(\mathbb{L}^{2}\)-terminal data: Krylov's estimate, Itô-Krylov's formula and existence results |
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Quadratic BSDE with \(\mathbb{L}^{2}\)-terminal data: Krylov's estimate, Itô-Krylov's formula and existence results (English)
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5 October 2017
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The authors consider one-dimensional quadratic backward stochastic differential equations (QBSDEs) with a measurable generator and an arbitrary terminal datum. Local and global Krylov estimates as well as Itô-Krylov's formula for the solutions of QBSDEs are established with the help of a simple probabilistic method based on the occupation time formula. This allows them to prove various existence and uniqueness results for several classes of QBSDEs with a square-integrable terminal condition. Comparison theorems for the solutions are established. The existence of viscosity solutions is proved as a by-product, for a particular class of QBSDEs, also with a square-integrable terminal condition.
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quadratic backward stochastic differential equations
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Krylov inequality
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Itô-Krylov formula
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Tanaka formula
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local time
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viscosity solution
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square-integrable terminal condition
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