A stability approach for solving multidimensional quadratic BSDEs

被引：20

作者：

Harter, Jonathan ^{[1
]}

Richou, Adrien ^{[1
]}

机构：

[1] Univ Bordeaux, IMB, UMR 5251, F-33400 Talence, France

来源：

ELECTRONIC JOURNAL OF PROBABILITY | 2019年 / 24卷

关键词：

BSDES; quadratic BSDES; martingales; STOCHASTIC DIFFERENTIAL-EQUATIONS; MARTINGALES; UNIQUENESS;

D O I：

10.1214/18-EJP260

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

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.

引用

页数：51

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