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Well-posedness of backward stochastic differential equations with general filtration

✍ Scribed by Lü, Qi; Zhang, Xu


Book ID
122451009
Publisher
Elsevier Science
Year
2013
Tongue
English
Weight
373 KB
Volume
254
Category
Article
ISSN
0022-0396

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Backward stochastic differential equatio
✍ Chikvinidze, Besik 📂 Article 📅 2012 🏛 Walter de Gruyter GmbH & Co. KG 🌐 English ⚖ 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