A new existence result for second-order BSDEs with quadratic growth and their applications
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Publication:2803415
Abstract: In this paper, we study a class of second order backward stochastic differential equations (2BSDEs) with quadratic growth in coefficients. We first establish solvability for such 2BSDEs and then give their applications to robust utility maximization problems.
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Cited in
(11)- Representation of solutions to 2BSDEs in an extended monotonicity setting
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