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Backward stochastic differential equations with a convex generator

✍ Scribed by Chikvinidze, Besik


Book ID
111918507
Publisher
Walter de Gruyter GmbH & Co. KG
Year
2012
Tongue
English
Weight
340 KB
Volume
19
Category
Article
ISSN
1072-947X

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Backward stochastic differential equatio
✍ Chikvinidze, Besik πŸ“‚ Article πŸ“… 2012 πŸ› Walter de Gruyter GmbH & Co. KG 🌐 English βš– 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