 |
Journal articles
On the uniqueness of solutions to quadratic BSDEs with convex generators and unbounded terminal conditions
Abstract : In a previous work, P. Briand and Y. Hu proved the uniqueness among the solutions which admit every exponential moments. In this paper, we prove that uniqueness holds among solutions which admit some given exponential moments. These exponential moments are natural as they are given by the existence theorem. Thanks to this uniqueness result we can strengthen the nonlinear Feynman-Kac formula proved by P. Briand and Y. Hu.
Cited literature [8 references]
https://hal.archives-ouvertes.fr/hal-00391112
Contributor : Adrien Richou <>
Submitted on : Wednesday, June 3, 2009 - 2:55:06 PM
Last modification on : Monday, November 30, 2020 - 10:40:03 PM
Long-term archiving on: : Friday, June 11, 2010 - 12:16:39 AM
Contributor : Adrien Richou <>
Submitted on : Wednesday, June 3, 2009 - 2:55:06 PM
Last modification on : Monday, November 30, 2020 - 10:40:03 PM
Long-term archiving on: : Friday, June 11, 2010 - 12:16:39 AM
Files
unicite_sol.pdf
Files produced by the author(s)