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

DOI10.3934/DCDS.2015.35.5273zbMATH Open1335.60099arXiv1303.4859OpenAlexW2963491218MaRDI QIDQ255489FDOQ255489

Adrien Richou, Ying Hu, Freddy Delbaen

Publication date: 9 March 2016

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

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.

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)

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Cited In (18)

• Quadratic reflected BSDEs and related obstacle problems for PDEs
• MINIMAL AND MAXIMAL BOUNDED SOLUTIONS FOR QUADRATIC BSDES WITH STOCHASTIC CONDITIONS
• On the Uniqueness of Solutions to Quadratic BSDEs with Non-convex Generators
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