Existence of solution to scalar BSDEs with \(L\exp\left(\sqrt {\frac{2}{\lambda}\log(1+L)}\right)\)-integrable terminal values

DOI10.1214/18-ECP127zbMath1390.60208MaRDI QIDQ1748581

Ying Hu, Shanjian Tang

Publication date: 11 May 2018

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.ecp/1524881135

zbMATH Keywords

backward stochastic differential equationdual representation\(L\exp\left(\sqrt{{2}{\lambda}\log(1+L)}\right)\) integrabilityterminal condition

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cites Work

• On the uniqueness of solutions to quadratic BSDEs with convex generators and unbounded terminal conditions
• Adapted solution of a backward stochastic differential equation
• Backward stochastic differential equations with continuous coefficient
• BSDE with quadratic growth and unbounded terminal value
• Dual representation as stochastic differential games of backward stochastic differential equations and dynamic evaluations
• \(L^p\) solutions of backward stochastic differential equations.
• Backward Stochastic Differential Equations in Finance

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