Electronic Journal of Probability

A stability approach for solving multidimensional quadratic BSDEs

Jonathan Harter and Adrien Richou

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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.

Article information

Electron. J. Probab., Volume 24 (2019), paper no. 4, 51 pp.

Received: 9 March 2018
Accepted: 24 December 2018
First available in Project Euclid: 8 February 2019

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Primary: 65C30: Stochastic differential and integral equations

BSDES quadratic BSDES martingales

Creative Commons Attribution 4.0 International License.


Harter, Jonathan; Richou, Adrien. A stability approach for solving multidimensional quadratic BSDEs. Electron. J. Probab. 24 (2019), paper no. 4, 51 pp. doi:10.1214/18-EJP260. https://projecteuclid.org/euclid.ejp/1549616425

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