Monotone stability of quadratic semimartingales with applications to unbounded general quadratic BSDEs
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inf-convolutionquadratic backward stochastic differential equationsstrong convergenceentropic inequalitiesBMO-martingalesexponential transformationmonotone stabilityquadratic semimartingales
Auctions, bargaining, bidding and selling, and other market models (91B26) Generalizations of martingales (60G48) Utility theory (91B16) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44) Stochastic analysis (60H99) General theory of stochastic processes (60G07)
Abstract: In this paper, we study the stability and convergence of some general quadratic semimartingales. Motivated by financial applications, we study simultaneously the semimartingale and its opposite. Their characterization and integrability properties are obtained through some useful exponential submartingale inequalities. Then, a general stability result, including the strong convergence of the martingale parts in various spaces ranging from to BMO, is derived under some mild integrability condition on the exponential of the terminal value of the semimartingale. This can be applied in particular to BSDE-like semimartingales. This strong convergence result is then used to prove the existence of solutions of general quadratic BSDEs under minimal exponential integrability assumptions, relying on a regularization in both linear-quadratic growth of the quadratic coefficient itself. On the contrary to most of the existing literature, it does not involve the seminal result of Kobylanski (2000) on bounded solutions.
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