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Backward stochastic differential equations with a uniformly continuous generator and related -expectation

โœ Scribed by Guangyan Jia

Book ID
108266930
Publisher
Elsevier Science
Year
2010
Tongue
English
Weight
384 KB
Volume
120
Category
Article
ISSN
0304-4149

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Backward stochastic differential equatio
Backward stochastic differential equations with a convex generator
โœ Chikvinidze, Besik ๐Ÿ“‚ Article ๐Ÿ“… 2012 ๐Ÿ› Walter de Gruyter GmbH & Co. KG ๐ŸŒ English โš– 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