Lipschitz-quadratic Regularization for Quadratic Semimartingale BSDEs
Probability
2017-10-02 v2
Abstract
We refine the solvability of quadratic semimartingale BSDEs by employing a Lipschitz-quadratic regularization procedure. In the first step, we prove an existence and uniqueness result for a class of Lipschitz-quadratic BSDEs. A corresponding stability theorem and a Lipschitz-quadratic regularization are developed to solve quadratic BSDEs. The advantage of our approach is that much weaker conditions ensure the existence and uniqueness results.
Keywords
Cite
@article{arxiv.1508.01693,
title = {Lipschitz-quadratic Regularization for Quadratic Semimartingale BSDEs},
author = {Hanlin Yang},
journal= {arXiv preprint arXiv:1508.01693},
year = {2017}
}
Comments
27 pages, a slightly modified proof of the solvability which gives better results