Multidimensional quadratic and subquadratic BSDEs with special structure
Probability
2015-01-30 v4
Abstract
We study multidimensional BSDEs of the form with bounded terminal conditions and drivers that grow at most quadratically in . We consider three different cases. In the first one the BSDE is Markovian, and a solution can be obtained from a solution to a related FBSDE. In the second case, the BSDE becomes a one-dimensional quadratic BSDE when projected to a one-dimensional subspace, and a solution can be derived from a solution of the one-dimensional equation. In the third case, the growth of the driver in is strictly subquadratic, and the existence and uniqueness of a solution can be shown by first solving the BSDE on a short time interval and then extending the solution recursively.
Cite
@article{arxiv.1309.6716,
title = {Multidimensional quadratic and subquadratic BSDEs with special structure},
author = {Patrick Cheridito and Kihun Nam},
journal= {arXiv preprint arXiv:1309.6716},
year = {2015}
}
Comments
16 pages