Quadratic Semimartingale BSDEs under an Exponential Moments Condition
Probability
2012-08-07 v1
Abstract
In the present article we provide existence, uniqueness and stability results under an exponential moments condition for quadratic semimartingale backward stochastic differential equations (BSDEs) having convex generators. We show that the martingale part of the BSDE solution defines a true change of measure and provide an example which demonstrates that pointwise convergence of the drivers is not sufficient to guarantee a stability result within our framework.
Keywords
Cite
@article{arxiv.1101.2582,
title = {Quadratic Semimartingale BSDEs under an Exponential Moments Condition},
author = {Markus Mocha and Nicholas Westray},
journal= {arXiv preprint arXiv:1101.2582},
year = {2012}
}
Comments
28 pages