On the uniqueness of solutions to quadratic BSDEs with non-convex generators
Probability
2020-08-26 v1
Abstract
In this paper we prove some uniqueness results for quadratic backward stochastic differential equations without any convexity assumptions on the generator. The bounded case is revisited while some new results are obtained in the unbounded case when the terminal condition and the generator depend on the path of a forward stochastic differential equation. Some of these results are based on strong estimates on that are interesting on their own and could be applied in other situations.
Keywords
Cite
@article{arxiv.1801.00157,
title = {On the uniqueness of solutions to quadratic BSDEs with non-convex generators},
author = {Philippe Briand and Adrien Richou},
journal= {arXiv preprint arXiv:1801.00157},
year = {2020}
}