BSDE with quadratic growth and unbounded terminal value

Philippe Briand (1, 2) , Ying Hu (1)

1 IRMAR - Institut de Recherche Mathématique de Rennes
2 LAMA - Laboratoire de Mathématiques

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.

Mots clés: BSDE; Quadratic generators; localization

Domaines: Probabilités [math.PR]

Philippe Briand, Ying Hu. BSDE with quadratic growth and unbounded terminal value. Probability Theory and Related Fields, 2006, 136 (4), pp.604-618. ⟨10.1007/s00440-006-0497-0⟩. ⟨hal-00004619⟩