Backward stochastic differential equations with a convex generator

✍ Scribed by Chikvinidze, Besik

• Book ID: 111918508
• Publisher: Walter de Gruyter GmbH & Co. KG
• Year: 2012
• Tongue: English
• Weight: 340 KB
• Volume: 19
• Category: Article
• ISSN: 1072-947X
• DOI: 10.1515/gmj-2012-0003

✦ Synopsis

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 the corresponding value process satisfies BSDEs.