A stability approach for solving multidimensional quadratic BSDEs
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Publication:1721997
DOI10.1214/18-EJP260zbMATH Open1416.60060arXiv1606.08627OpenAlexW2964042010MaRDI QIDQ1721997FDOQ1721997
Adrien Richou, Jonathan Harter
Publication date: 14 February 2019
Published in: Electronic Journal of Probability (Search for Journal in Brave)
Abstract: We establish an existence and uniqueness result for a class of multidimensional quadratic backward stochastic differential equations (BSDE). This class is characterized by constraints on some uniform a priori estimate on solutions of a sequence of approximated BSDEs. We also present effective examples of applications. Our approach relies on the strategy developed by Briand and Elie in [Stochastic Process. Appl. 123 2921--2939] concerning scalar quadratic BSDEs.
Full work available at URL: https://arxiv.org/abs/1606.08627
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44)
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