A simple constructive approach to quadratic BSDEs with or without delay

Philippe Briand (1) , Romuald Elie (2)

1 LAMA - Laboratoire de Mathématiques
2 CEREMADE - CEntre de REcherches en MAthématiques de la DEcision

This paper provides a simple approach for the consideration of quadratic BSDEs with bounded terminal conditions. Using solely probabilistic arguments, we retrieve the existence and uniqueness result derived via PDE-based methods by Kobylanski \cite{kob00}. This approach is related to the study of quadratic BSDEs presented by Tevzadze~\cite{tev08}. Our argumentation, as in \cite{tev08}, highly relies on the theory of BMO martingales which was used for the first time for BSDEs in \cite{HIM05}. However, we avoid in our method any fixed point argument and use Malliavin calculus to overcome the difficulty. Our new scheme of proof allows also to extend the class of quadratic BSDEs, for which there exists a unique solution: we incorporate delayed quadratic BSDEs, whose driver depends on the recent past of the $Y$ component of the solution. When the delay vanishes, we verify that the solution of a delayed quadratic BSDE converges to the solution of the corresponding classical non-delayed quadratic BSDE.

Mots clés: quadratic BSDE; delay; BMO martingales; Malliavin calculus

Domaines: Probabilités [math.PR]

Philippe Briand, Romuald Elie. A simple constructive approach to quadratic BSDEs with or without delay. 2012. ⟨hal-00717226⟩