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2019 A stability approach for solving multidimensional quadratic BSDEs
Jonathan Harter, Adrien Richou
Electron. J. Probab. 24: 1-51 (2019). DOI: 10.1214/18-EJP260

Abstract

We establish an existence and uniqueness result for a class of multidimensional quadratic backward stochastic differential equations (BSDE). This class is characterized by constraints on some uniform a priori estimate on solutions of a sequence of approximated BSDEs. We also present effective examples of applications. Our approach relies on the strategy developed by Briand and Elie in [Stochastic Process. Appl. 123 2921–2939] concerning scalar quadratic BSDEs.

Citation

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Jonathan Harter. Adrien Richou. "A stability approach for solving multidimensional quadratic BSDEs." Electron. J. Probab. 24 1 - 51, 2019. https://doi.org/10.1214/18-EJP260

Information

Received: 9 March 2018; Accepted: 24 December 2018; Published: 2019
First available in Project Euclid: 8 February 2019

zbMATH: 1416.60060
MathSciNet: MR3916324
Digital Object Identifier: 10.1214/18-EJP260

Subjects:
Primary: 65C30

JOURNAL ARTICLE
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