Backward SDEs with superquadratic growth View Full Text


Ontology type: schema:ScholarlyArticle      Open Access: True


Article Info

DATE

2010-02-25

AUTHORS

Freddy Delbaen, Ying Hu, Xiaobo Bao

ABSTRACT

In this paper, we discuss the solvability of backward stochastic differential equations (BSDEs) with superquadratic generators. We first prove that given a superquadratic generator, there exists a bounded terminal value, such that the associated BSDE does not admit any bounded solution. On the other hand, we prove that if the superquadratic BSDE admits a bounded solution, then there exist infinitely many bounded solutions for this BSDE. Finally, we prove the existence of a solution for Markovian BSDEs where the terminal value is a bounded continuous function of a forward stochastic differential equation. More... »

PAGES

145-192

References to SciGraph publications

  • 2002-10. Convex measures of risk and trading constraints in FINANCE AND STOCHASTICS
  • 2006-04-24. BSDE with quadratic growth and unbounded terminal value in PROBABILITY THEORY AND RELATED FIELDS
  • 2006. Law invariant risk measures have the Fatou property in ADVANCES IN MATHEMATICAL ECONOMICS
  • 1992. Backward stochastic differential equations and quasilinear parabolic partial differential equations in STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONS AND THEIR APPLICATIONS
  • 2009-12-09. Representation of the penalty term of dynamic concave utilities in FINANCE AND STOCHASTICS
  • 2007-08-01. Quadratic BSDEs with convex generators and unbounded terminal conditions in PROBABILITY THEORY AND RELATED FIELDS
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