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2020 A type of globally solvable BSDEs with triangularly quadratic generators
Peng Luo
Electron. J. Probab. 25: 1-23 (2020). DOI: 10.1214/20-EJP504

Abstract

The present paper is devoted to the study of the well-posedness of a type of BSDEs with triangularly quadratic generators. This work is motivated by the recent results obtained by Hu and Tang [14] and Xing and Žitković [28]. By the contraction mapping argument, we first prove that this type of triangularly quadratic BSDEs admits a unique local solution on a small time interval whenever the terminal value is bounded. Under additional assumptions, we build the global solution on the whole time interval by stitching local solutions. Finally, we give solvability results when the generators have path dependence in value process.

Citation

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Peng Luo. "A type of globally solvable BSDEs with triangularly quadratic generators." Electron. J. Probab. 25 1 - 23, 2020. https://doi.org/10.1214/20-EJP504

Information

Received: 29 February 2020; Accepted: 26 July 2020; Published: 2020
First available in Project Euclid: 17 September 2020

zbMATH: 07252706
MathSciNet: MR4150524
Digital Object Identifier: 10.1214/20-EJP504

Subjects:
Primary: 60H10, 60H30

JOURNAL ARTICLE
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