On the uniqueness of solutions to quadratic BSDEs with convex generators and unbounded terminal conditions: the critical case

DOI10.3934/DCDS.2015.35.5273zbMATH Open1335.60099OpenAlexW2963491218MaRDI QIDQ255489FDOQ255489

Authors Adrien Richou, Ying Hu, Freddy Delbaen

Publication date 9 March 2016

Published in Discrete and Continuous Dynamical Systems (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1303.4859

zbMATH Keywords

convex generatorsquadratic backward stochastic differential equationsunbounded terminal conditionsuniqueness

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05)

Abstract: In [3], the authors proved that uniqueness holds among solutions whose exponentials are $L^p$ with $p$ bigger than a constant $gamma$ ($pextgreatergamma$). In this paper, we consider the critical case: $p=gamma$. We prove that the uniqueness holds among solutions whose exponentials are $L^{g}amma$ under the additional assumption that the generator is strongly convex.

Recommendations

• On the uniqueness of solutions to quadratic BSDEs with convex generators and unbounded terminal conditions
• On the uniqueness of solutions to quadratic BSDEs with non-convex generators and unbounded terminal conditions
• On the uniqueness of solutions to quadratic BSDEs with non-convex generators
• Quadratic BSDEs with convex generators and unbounded terminal conditions
• Existence and uniqueness of solution to scalar BSDEs with \(L\exp (\mu \sqrt{2\log (1+L)} )\)-integrable terminal values: the critical case

Cites work

• scientific article; zbMATH DE number 140601 (Why is no real title available?)
• A financial market with interacting investors: does an equilibrium exist?
• A new existence result for quadratic BSDEs with jumps with application to the utility maximization problem
• A note on the existence of solutions to Markovian superquadratic BSDEs with an unbounded terminal condition
• A simple constructive approach to quadratic BSDEs with or without delay
• Adapted solution of a backward stochastic differential equation
• BSDE with quadratic growth and unbounded terminal value
• BSDEs with terminal conditions that have bounded Malliavin derivative
• Backward Stochastic Differential Equations in Finance
• Backward stochastic differential equations and partial differential equations with quadratic growth.
• Conjugate convex functions in optimal stochastic control
• Dynamic exponential utility indifference valuation
• Existence of solutions to a class of indefinite stochastic Riccati equations
• General Linear Quadratic Optimal Stochastic Control Problems with Random Coefficients: Linear Stochastic Hamilton Systems and Backward Stochastic Riccati Equations
• Indefinite Stochastic Riccati Equations
• Markovian quadratic and superquadratic BSDEs with an unbounded terminal condition
• Monotone stability of quadratic semimartingales with applications to unbounded general quadratic BSDEs
• Multidimensional Backward Stochastic Riccati Equations and Applications
• Multidimensional quadratic and subquadratic BSDEs with special structure
• Numerical simulation of BSDEs with drivers of quadratic growth
• On the uniqueness of solutions to quadratic BSDEs with convex generators and unbounded terminal conditions
• Pricing via utility maximization and entropy.
• Quadratic BSDEs driven by a continuous martingale and applications to the utility maximization problem
• Quadratic BSDEs with convex generators and unbounded terminal conditions
• Solvability of backward stochastic differential equations with quadratic growth
• Utility maximization in a jump market model
• Utility maximization in incomplete markets
• \(L^p\) solutions of backward stochastic differential equations.

Cited in

(21)

• Decoupling on the Wiener space, related Besov spaces, and applications to BSDEs
• Quadratic BSDEs with mean reflection driven by G-brownian motion
• Equilibrium asset pricing with transaction costs
• The convergence rate from discrete to continuous optimal investment stopping problem
• Multi-dimensional backward stochastic differential equations of diagonally quadratic generators with a special structure
• Some results on general quadratic reflected BSDEs driven by a continuous martingale
• Quadratic reflected BSDEs and related obstacle problems for PDEs
• On the uniqueness of solutions to quadratic BSDEs with non-convex generators and unbounded terminal conditions
• Existence and uniqueness results for BSDE with jumps: the whole nine yards
• Multi-dimensional backward stochastic differential equations of diagonally quadratic generators: the general result
• Quadratic BSDEs with convex generators and unbounded terminal conditions
• Minimal and maximal bounded solutions for quadratic BSDEs with stochastic conditions
• Backward stochastic differential equations with unbounded generators
• Recursive utility processes, dynamic risk measures and quadratic backward stochastic Volterra integral equations
• Existence and uniqueness of solution to scalar BSDEs with \(L\exp (\mu \sqrt{2\log (1+L)} )\)-integrable terminal values: the critical case
• On the uniqueness of solutions to quadratic BSDEs with non-convex generators
• On the uniqueness of solutions to quadratic BSDEs with convex generators and unbounded terminal conditions
• Numerical simulation of quadratic BSDEs
• Local existence and uniqueness of solutions to quadratic BSDEs with weak monotonicity and general growth generators
• scientific article; zbMATH DE number 7606273 (Why is no real title available?)
• BSDEs with diffusion constraint and viscous Hamilton-Jacobi equations with unbounded data

This page was built for publication: On the uniqueness of solutions to quadratic BSDEs with convex generators and unbounded terminal conditions: the critical case

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q255489)