BSDE with quadratic growth and unbounded terminal value
Probability
2007-05-23 v1
Abstract
In this paper, we study the existence of solution to BSDE with quadratic growth and unbounded terminal value. We apply a localization procedure together with a priori bounds. As a byproduct, we apply the same method to extend a result on BSDEs with integrable terminal condition.
Cite
@article{arxiv.math/0504002,
title = {BSDE with quadratic growth and unbounded terminal value},
author = {Philippe Briand and Ying Hu},
journal= {arXiv preprint arXiv:math/0504002},
year = {2007}
}