Multidimensional quadratic and subquadratic BSDEs with special structure

DOI10.1080/17442508.2015.1013959zbMATH Open1337.60119arXiv1309.6716OpenAlexW2018884111MaRDI QIDQ2804014FDOQ2804014

Patrick Cheridito, Kihun Nam

Publication date: 27 April 2016

Published in: Stochastics (Search for Journal in Brave)

Abstract: We study multidimensional BSDEs of the form ${\displaystyle }$ Y_t = xi + int_t^T f(s,Y_s,Z_s)ds - int_t^T Z_s dW_s ${\displaystyle }$ with bounded terminal conditions $xi$ and drivers $f$ that grow at most quadratically in $Z_s$. We consider three different cases. In the first one the BSDE is Markovian, and a solution can be obtained from a solution to a related FBSDE. In the second case, the BSDE becomes a one-dimensional quadratic BSDE when projected to a one-dimensional subspace, and a solution can be derived from a solution of the one-dimensional equation. In the third case, the growth of the driver $f$ in $Z_s$ is strictly subquadratic, and the existence and uniqueness of a solution can be shown by first solving the BSDE on a short time interval and then extending the solution recursively.

Full work available at URL: https://arxiv.org/abs/1309.6716

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zbMATH Keywords

backward stochastic differential equationsquadratic growthstrictly subquadratic growth

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05) Stochastic integral equations (60H20)

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Cited In (40)

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