A note on the existence of solutions to Markovian superquadratic BSDEs with an unbounded terminal condition

DOI10.1214/EJP.V18-2124zbMATH Open1287.60073arXiv1206.7030OpenAlexW2023323675MaRDI QIDQ388919FDOQ388919

Authors: Adrien Richou, Federica Masiero 

Publication date: 17 January 2014

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Abstract: In [Stochastc Process. Appl., 122(9):3173-3208], the author proved the existence and the uniqueness of solutions to Markovian superquadratic BSDEs with an unbounded terminal condition when the generator and the terminal condition are locally Lipschitz. In this paper, we prove that the existence result remains true for these BSDEs when the regularity assumptions on the terminal condition is weakened.

Full work available at URL: https://arxiv.org/abs/1206.7030

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zbMATH Keywords

backward stochastic differential equationexistence resultgenerator of superquadratic growthunbounded terminal condition

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Cited In (12)

• On the uniqueness of solutions to quadratic BSDEs with convex generators and unbounded terminal conditions: the critical case
• Existence and uniqueness results for BSDE with jumps: the whole nine yards
• Markovian quadratic and superquadratic BSDEs with an unbounded terminal condition
• Markovian quadratic BSDEs with an unbounded sub-quadratic growth
• Backward SDEs with superquadratic growth
• HJB equations in infinite dimensions with locally Lipschitz Hamiltonian and unbounded terminal condition
• A simple constructive approach to quadratic BSDEs with or without delay
• Existence result for the BSDE with superquadratic growth
• Existence, uniqueness and comparison theorem on unbounded solutions of scalar super-linear BSDEs
• On the orthogonal component of BSDEs in a Markovian setting
• A type of globally solvable BSDEs with triangularly quadratic generators
• BSDEs with diffusion constraint and viscous Hamilton-Jacobi equations with unbounded data

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