On Quadratic BSDEs with Final Condition in L2
Probability
2016-09-28 v3
Abstract
This thesis consists of three parts. In the first part, we study solutions of a large class of BSDEs. Existence, comparison theorem, uniqueness and a stability result are proved. In the second part, we establish the solvability of quadratic semimartingale BSDEs. In contrast to current literature, we use Lipschitz-quadratic regularization and obtain the existence and uniqueness results with minimal assumptions. The third part is a brief summary of quadratic semimartingales and the monotone stability result. This provides an alternative proof of monotone stability result for quadratic semimartingales BSDEs.
Cite
@article{arxiv.1506.08143,
title = {On Quadratic BSDEs with Final Condition in L2},
author = {Hanlin Yang},
journal= {arXiv preprint arXiv:1506.08143},
year = {2016}
}
Comments
Master Thesis, University of Zurich and ETH Zurich