On the uniqueness of solutions to quadratic BSDEs with non-convex generators

DOI10.1007/978-3-030-22285-7_3MaRDI QIDQ5038291zbMATH OpenOpenAlexFDO

Authors Philippe Briand, Adrien Richou

Publication date 30 September 2022

Published in Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1801.00157

zbMATH Keywords

backward stochastic differential equationsgenerator of quadratic growthunbounded terminal conditionuniqueness result

Mathematics Subject Classification ID

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

Abstract: In this paper we prove some uniqueness results for quadratic backward stochastic differential equations without any convexity assumptions on the generator. The bounded case is revisited while some new results are obtained in the unbounded case when the terminal condition and the generator depend on the path of a forward stochastic differential equation. Some of these results are based on strong estimates on $Z$ that are interesting on their own and could be applied in other situations.

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Cites work

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Cited in

(18)

• Existence and uniqueness results for BSDE with jumps: the whole nine yards
• Obliquely reflected backward stochastic differential equations
• Quadratic \(G\)-BSDEs with convex generators and unbounded terminal conditions
• Solvability of some quadratic BSDEs without exponential moments
• On the uniqueness of solutions to quadratic BSDEs with convex generators and unbounded terminal conditions: the critical case
• Local existence and uniqueness of solutions to quadratic BSDEs with weak monotonicity and general growth generators
• Existence and non-uniqueness of solutions for BSDE
• Résultats d'existence et d'unicité pour des équations différentielles stochastiques rétrogrades avec des générateurs à croissance quadratique
• Backward stochastic differential equations with unbounded generators
• Existence and uniqueness for non-Markovian triangular quadratic BSDEs
• On the uniqueness of solutions to quadratic BSDEs with convex generators and unbounded terminal conditions
• On the uniqueness result for the BSDE with deterministic coefficient
• Convexity bounds for BSDE solutions, with applications to indifference valuation
• Uniqueness of solutions to quadratic BSDEs with locally Lipschitz generator
• Locally Lipschitz path dependent FBSDEs with unbounded terminal conditions in Brownian and Lévy settings
• On the uniqueness of solutions to quadratic BSDEs with non-convex generators and unbounded terminal conditions
• Quadratic BSDEs with convex generators and unbounded terminal conditions
• Uniqueness of solutions for multidimensional BSDEs with uniformly continuous generators

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