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In this paper we extend the notion of g-evaluation, in particular g-expectation, to the case where the generator g is allowed to have a quadratic growth. We show that some important properties of the g-expectations, including a…

Probability · Mathematics 2009-12-19 Jin Ma , Song Yao

In this article, we prove the existence of bounded solutions of quadratic backward SDEs with jumps, that is to say for which the generator has quadratic growth in the variables (z,u). From a technical point of view, we use a direct fixed…

Probability · Mathematics 2014-03-07 M. Nabil Kazi-Tani , Dylan Possamaï , Chao Zhou

In this paper, we initiate the study of backward doubly stochastic differential equations (BDSDEs, for short) with quadratic growth. The existence, comparison, and stability results for one-dimensional BDSDEs are proved when the generator…

Probability · Mathematics 2022-05-12 Ying Hu , Jiaqiang Wen , Jie Xiong

In this paper, we study the solvability of anticipated backward stochastic differential equations (BSDEs, for short) with quadratic growth for one-dimensional case and multi-dimensional case. In these BSDEs, the generator, which is of…

Probability · Mathematics 2019-09-25 Ying Hu , Xun Li , Jiaqiang Wen

In this paper, we study a Backward Stochastic Differential Equation with Jumps (BSDEJs in short) where the jumps have infinite activity. Following a forward approach based on Exponential Quadratic semimartingale, we prove the existence of…

Probability · Mathematics 2019-06-21 Anis Matoussi , Rym Salhi

We provide a new characterization of law-invariant backward stochastic differential equations (i.e. BSDEs) with quadratic growth. This answers the open question raised in Xu--Xu--Zhou (2022) on necessary conditions for law-invariance of…

Optimization and Control · Mathematics 2026-04-16 Zakaria Bensaid , Roxana Dumitrescu , Anis Matoussi , Wissal Sabbagh

In this paper, we study a class of Anticipated Backward Stochastic Differential Equations (ABSDE) with jumps. The solution of the ABSDE is a triple $(Y,Z,\psi)$ where $Y$ is a semimartingale, and $(Z,\psi)$ are the diffusion and jump…

Mathematical Finance · Quantitative Finance 2018-07-10 Masaaki Fujii , Akihiko Takahashi

In this paper, we first study one-dimensional quadratic backward stochastic differential equations driven by $G$-Brownian motions ($G$-BSDEs) with unbounded terminal values. With the help of a $\theta$-method of Briand and Hu [4] and…

Probability · Mathematics 2021-01-28 Ying Hu , Shanjian Tang , Falei Wang

In this paper, we study a class of Quadratic Backward Stochastic Differential Equations (QBSDE in short) with jumps and unbounded terminal condition. We extend the class of quadratic semimartingales introduced by Barrieu and El Karoui…

Probability · Mathematics 2016-03-22 Nicole El Karoui , Anis Matoussi , Armand Ngoupeyou

In this paper, we, for the first time, establish two comparison theorems for multi-dimensional backward stochastic differential equations with jumps. Our approach is novel and completely different from the existing results for…

Probability · Mathematics 2023-11-14 Ying Hu , Xiaomin Shi , Zuo Quan Xu

In this paper, we study the doubly reflected backward stochastic differential equations driven by $G$-Brownian motion ($G$-BSDEs for short) when the generator has quadratic growth in the $z$-component. Based on the theory of $G$-BMO…

Probability · Mathematics 2026-04-28 Hanwu Li , Peng Luo , Mengbo Zhu

This paper investigate a class of multi-dimensional backward stochastic differential equations (BSDEs) with singualr generators exhibiting diagonally quadratic growth and unbounded terminal conditions, thereby extending results in the…

Probability · Mathematics 2025-07-08 Wenbo Wang , Guangyan Jia

In this paper, we analyze a real-valued reflected backward stochastic differential equation (RBSDE) with an unbounded obstacle and an unbounded terminal condition when its generator $f$ has quadratic growth in the $z$-variable. In…

Probability · Mathematics 2011-03-10 Erhan Bayraktar , Song Yao

We introduce and develop the concepts of Geometric Backward Stochastic Differential Equations (GBSDEs, for short) and two-driver BSDEs. We demonstrate their natural suitability for modeling continuous-time dynamic return risk measures. We…

Probability · Mathematics 2025-09-10 Roger J. A. Laeven , Emanuela Rosazza Gianin , Marco Zullino

Most previous contributions to BSDEs, and the related theories of nonlinear expectation and dynamic risk measures, have been in the framework of continuous time diffusions or jump diffusions. Using solutions of BSDEs on spaces related to…

Computational Finance · Quantitative Finance 2010-01-14 Samuel N. Cohen , Robert J. Elliott

This article deals with the numerical approximation of Markovian backward stochastic differential equations (BSDEs) with generators of quadratic growth with respect to $z$ and bounded terminal conditions. We first study a slight…

Probability · Mathematics 2016-02-05 Jean-François Chassagneux , Adrien Richou

In this paper, we study the multi-dimensional backward stochastic differential equations (BSDEs) whose generator depends also on the mean of both variables. When the generator is diagonally quadratic, we prove that the BSDE admits a unique…

Probability · Mathematics 2023-03-31 Shanjian Tang , Guang Yang

We show a concise extension of the monotone stability approach to backward stochastic differential equations (BSDEs) that are jointly driven by a Brownian motion and a random measure for jumps, which could be of infinite activity with a…

Probability · Mathematics 2019-11-21 Dirk Becherer , Martin Büttner , Klebert Kentia

In this paper, we study the multi-dimensional mean-field backward stochastic differential equations (BSDEs, for short) with quadratic growth. Under small terminal value, the existence and uniqueness are proved for the multi-dimensional…

Probability · Mathematics 2022-08-15 Tao Hao , Jiaqiang Wen , Jie Xiong

We study the discrete-time approximation for solutions of quadratic forward back- ward stochastic differential equations (FBSDEs) driven by a Brownian motion and a jump process which could be dependent. Assuming that the generator has a…

Optimization and Control · Mathematics 2012-11-28 Idris Kharroubi , Thomas Lim
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