Existence and Non-uniqueness of Solutions for BSDE View Full Text


Ontology type: schema:Chapter     


Chapter Info

DATE

2010

AUTHORS

Xiaobo Bao , Freddy Delbaen , Ying Hu

ABSTRACT

We study BSDE where the driver is pathwise quadratically bounded. The associated utility function is always a solution but even in the class of Markovian solutions uniqueness is not guaranteed. we relate the problem to problems for quasi-linear parabolic PDE.

PAGES

123-134

Book

TITLE

Contemporary Quantitative Finance

ISBN

978-3-642-03478-7
978-3-642-03479-4

Identifiers

URI

http://scigraph.springernature.com/pub.10.1007/978-3-642-03479-4_7

DOI

http://dx.doi.org/10.1007/978-3-642-03479-4_7

DIMENSIONS

https://app.dimensions.ai/details/publication/pub.1043167449


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