A type of globally solvable BSDEs with triangularly quadratic generators
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Publication:2201488
DOI10.1214/20-EJP504zbMATH Open1480.60166arXiv1904.11531MaRDI QIDQ2201488FDOQ2201488
Publication date: 29 September 2020
Published in: Electronic Journal of Probability (Search for Journal in Brave)
Abstract: The present paper is devoted to the study of the well-posedness of a type of BSDEs with triangularly quadratic generators. This work is motivated by the recent results obtained by Hu and Tang [14] and Xing and v{Z}itkovi'{c} [28]. By the contraction mapping argument, we first prove that this type of triangularly quadratic BSDEs admits a unique local solution on a small time interval whenever the terminal value is bounded. Under additional assumptions, we build the global solution on the whole time interval by stitching local solutions. Finally, we give solvability results when the generators have path dependence in value process.
Full work available at URL: https://arxiv.org/abs/1904.11531
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)
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Cited In (11)
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