A stability approach for solving multidimensional quadratic BSDEs

Jonathan Harter (1) , Adrien Richou (1)

1 IMB - Institut de Mathématiques de Bordeaux

We establish an existence and uniqueness result for a class of multidimensional quadratic backward stochastic differential equations (BSDE). This class is characterized by constraints on some uniform a priori estimate 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. This manuscript is only a working paper.

Mots clés: Quadratic BSDEs; BSDE

Domaines: Probabilités [math.PR]; Mathématiques [math]

Jonathan Harter, Adrien Richou. A stability approach for solving multidimensional quadratic BSDEs. 2016. ⟨hal-01338673v1⟩