On the existence of Markovian superquadratic BSDEs with an unbounded terminal condition

Federica Masiero (1) , Adrien Richou (2, 3)

1 Dipartimento di Matematica e Applicazioni [Milano]
2 IMB - Institut de Mathématiques de Bordeaux
3 ALEA - Advanced Learning Evolutionary Algorithms

In [Stochastc Process. Appl., 122(9):3173-3208], the author proved the existence and the uniqueness of solutions to Markovian superquadratic BSDEs with an unbounded terminal condition when the generator and the terminal condition are locally Lipschitz. In this paper, we prove that the existence result remains true for these BSDEs when the regularity assumptions on the generator and/or the terminal condition are weakened.

Domaines: Probabilités [math.PR]

Federica Masiero, Adrien Richou. On the existence of Markovian superquadratic BSDEs with an unbounded terminal condition. 2012. ⟨hal-00713123v1⟩