A stability approach for solving multidimensional quadratic BSDEs
Probability
2018-03-12 v3
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.
Keywords
Cite
@article{arxiv.1606.08627,
title = {A stability approach for solving multidimensional quadratic BSDEs},
author = {Jonathan Harter and Adrien Richou},
journal= {arXiv preprint arXiv:1606.08627},
year = {2018}
}
Comments
This update contains corrections for Propositions 5.1 and 5.2