English

Multidimensional quadratic and subquadratic BSDEs with special structure

Probability 2015-01-30 v4

Abstract

We study multidimensional BSDEs of the form Yt=ξ+tTf(s,Ys,Zs)dstTZsdWs Y_t = \xi + \int_t^T f(s,Y_s,Z_s)ds - \int_t^T Z_s dW_s with bounded terminal conditions ξ\xi and drivers ff that grow at most quadratically in ZsZ_s. 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 ff in ZsZ_s 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.

Keywords

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

R2 v1 2026-06-22T01:34:16.046Z