Backward SDEs with superquadratic growth
Probability
2009-02-20 v1
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.
Keywords
Cite
@article{arxiv.0902.3316,
title = {Backward SDEs with superquadratic growth},
author = {Freddy Delbaen and Ying Hu and Xiaobo Bao},
journal= {arXiv preprint arXiv:0902.3316},
year = {2009}
}