Markovian quadratic and superquadratic BSDEs with an unbounded terminal condition

DOI10.1016/J.SPA.2012.05.015MaRDI QIDQ444352zbMATH OpenOpenAlexFDO

Authors Adrien Richou

Publication date 14 August 2012

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1111.5137

zbMATH Keywords

Feynman-Kac formulaBSDEquadratic and superquadratic growthtime discretization scheme

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Numerical solutions to stochastic differential and integral equations (65C30)

Abstract: This article deals with the existence and the uniqueness of solutions to quadratic and superquadratic Markovian backward stochastic differential equations (BSDEs for short) with an unbounded terminal condition. Our results are deeply linked with a strong a priori estimate on $Z$ that takes advantage of the Markovian framework. This estimate allows us to prove the existence of a viscosity solution to a semilinear parabolic partial differential equation with nonlinearity having quadratic or superquadratic growth in the gradient of the solution. This estimate also allows us to give explicit convergence rates for time approximation of quadratic or superquadratic Markovian BSDEs.

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Cited in

(44)

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