Skip to Main content Skip to Navigation
Journal articles

A stability approach for solving multidimensional quadratic BSDES

Abstract : We establish an existence and uniqueness result for a class of multidimensional quadratic backward stochastic differential equations (BSDEs). This class is characterized by constraints on some uniform a priori estimates on solutions of a sequence of approximated BSDEs. We also present effective examples of applications. Our approach relies on the strategy developed by Briand and Elie in [Stochastic Process. Appl. 123 2921–2939] concerning scalar quadratic BSDEs.
Keywords : Quadratic BSDEs BSDE
Complete list of metadatas

https://hal.archives-ouvertes.fr/hal-01338673
Contributor : Jonathan Harter <>
Submitted on : Friday, March 9, 2018 - 6:14:13 PM
Last modification on : Thursday, October 10, 2019 - 3:44:57 PM
Document(s) archivé(s) le : Sunday, June 10, 2018 - 2:57:42 PM

File

BSDE.pdf
Files produced by the author(s)

Identifiers

Collections

CNRS | INSMI | IMB

Citation

Jonathan Harter, Adrien Richou. A stability approach for solving multidimensional quadratic BSDES. Electronic Journal of Probability, Institute of Mathematical Statistics (IMS), 2019, 24, ⟨10.1214/18-EJP260⟩. ⟨hal-01338673v3⟩

Share

Metrics

Record views

120

Files downloads

272