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A note on the existence of solutions to Markovian superquadratic BSDEs with an unbounded terminal condition


 
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1. Title Title of document A note on the existence of solutions to Markovian superquadratic BSDEs with an unbounded terminal condition
 
2. Creator Author's name, affiliation, country Adrien Richou; Université Bordeaux 1; France
 
2. Creator Author's name, affiliation, country Federica Masiero; Università di Milano Bicocca; Italy
 
3. Subject Discipline(s)
 
3. Subject Keyword(s) Backward stochastic differential equation ; Generator of superquadratic growth ; Unbounded terminal condition ; Existence result
 
3. Subject Subject classification 60H10
 
4. Description Abstract In [Stochastc Process. Appl., 122(9):3173-3208], the author proved the existence and the uniqueness of solutions to Markovian superquadratic BSDEs with an unbounded terminal condition when the generator and the terminal condition are locally Lipschitz. In this paper, we prove that the existence result remains true for these BSDEs when the regularity assumption on the terminal condition is weakened.
 
5. Publisher Organizing agency, location
 
6. Contributor Sponsor(s)
 
7. Date (YYYY-MM-DD) 2013-04-17
 
8. Type Status & genre Peer-reviewed Article
 
8. Type Type
 
9. Format File format PDF
 
10. Identifier Uniform Resource Identifier http://ejp.ejpecp.org/article/view/2124
 
10. Identifier Digital Object Identifier 10.1214/EJP.v18-2124
 
11. Source Journal/conference title; vol., no. (year) Electronic Journal of Probability; Vol 18
 
12. Language English=en en
 
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