A class of multidimensional quadratic BSDEs
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Publication:6284237
arXiv1703.04153MaRDI QIDQ6284237FDOQ6284237
Shujin Wu, Yimin Yang, Zhongmin Qian
Publication date: 12 March 2017
Abstract: In this paper we study a multidimensional quadratic BSDE with a particular class of product generators and give a result of existence of solution in a suitable complete metric space under some constraints on parameters. We also use that result to derive the existence and uniqueness of solution to the one dimensional case with bounded terminal values and show the existence of solution to a lower triangular quadratic BSDE with certain bounded terminal values.
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Applications of stochastic analysis (to PDEs, etc.) (60H30)
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