Skip to Main content Skip to Navigation
Journal articles

Backward SDEs with superquadratic growth

Abstract : In this paper, we discuss the solvability of backward stochastic differential equations (BSDEs) with superquadratic generators. We first prove that given a superquadratic generator, there exists a bounded terminal value, such that the associated BSDE does not admit any bounded solution. On the other hand, we prove that if the superquadratic BSDE admits a bounded solution, then there exist infinitely many bounded solutions for this BSDE. Finally, we prove the existence of a solution for Markovian BSDEs where the terminal value is a bounded continuous function of a forward stochastic differential equation.
Document type :
Journal articles
Complete list of metadata

Cited literature [14 references]  Display  Hide  Download

https://hal.archives-ouvertes.fr/hal-00362685
Contributor : Ying Hu <>
Submitted on : Thursday, February 19, 2009 - 8:56:29 AM
Last modification on : Thursday, January 7, 2021 - 4:20:02 PM
Long-term archiving on: : Tuesday, June 8, 2010 - 10:41:12 PM

Files

superquadratic.pdf
Files produced by the author(s)

Identifiers

Citation

Freddy Delbaen, Ying Hu, Xiaobo Bao. Backward SDEs with superquadratic growth. Probability Theory and Related Fields, Springer Verlag, 2011, 150 (1-2), pp.145-192. ⟨10.1007/s00440-010-0271-1⟩. ⟨hal-00362685⟩

Share

Metrics

Record views

537

Files downloads

342