Backward stochastic differential equatio
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Chikvinidze, Besik
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Article
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2012
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Walter de Gruyter GmbH & Co. KG
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English
β 340 KB
Backward stochastic differential equations (BSDEs) with convex generators of quadratic growth are considered. The existence of a solution is proved for such equations driven by a continuous martingale with unbounded characteristic. A suitable optimization problem is formulated and it is shown that t