Solvability of multidimensional quadratic BSDEs
Probability
2017-10-24 v2
Abstract
We consider multidimensional quadratic BSDEs with bounded and unbounded terminal conditions. We provide sufficient conditions which guarantee existence and uniqueness of solutions. In particular, these conditions are satisfied if the terminal condition or the dependence in the system are small enough.
Keywords
Cite
@article{arxiv.1612.02698,
title = {Solvability of multidimensional quadratic BSDEs},
author = {Asgar Jamneshan and Michael Kupper and Peng Luo},
journal= {arXiv preprint arXiv:1612.02698},
year = {2017}
}
Comments
Based on this version and arXiv:1501.00461, we finally make a version which is accepted to be published in ECP and updated to arXiv:1501.00461