On the uniqueness of solutions to quadratic BSDEs with non-convex generators and unbounded terminal conditions
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Abstract: We prove a uniqueness result of the unbounded solution for a quadratic backward stochastic differential equation whose terminal condition is unbounded and whose generator may be non-Lipschitz continuous in the state variable , non-convex (non-concave) in the state variable , and instead satisfies a strictly quadratic condition and an additional assumption. The key observation is that if the generator is strictly quadratic, then the quadratic variation of the first component of the solution admits an exponential moment. Typically, a Lipschitz perturbation of some convex (concave) function satisfies the additional assumption mentioned above. This generalizes some results obtained in cite{BriandHu2006PTRF} and cite{BriandHu2008PTRF}.
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Cited in
(33)- Quadratic \(G\)-BSDEs with convex generators and unbounded terminal conditions
- Quadratic mean-field reflected BSDEs
- 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
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- Minimal and maximal bounded solutions for quadratic BSDEs with stochastic conditions
- On the uniqueness of solutions to quadratic BSDEs with non-convex generators
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- Quadratic BSDEs with convex generators and unbounded terminal conditions
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