Markovian quadratic and superquadratic BSDEs with an unbounded terminal condition

Abstract

This article deals with the existence and the uniqueness of solutions to quadratic and superquadratic Markovian backward stochastic differential equations (BSDEs for short) with an unbounded terminal condition. Our results are deeply linked with a strong a priori estimate on $Z$ that takes advantage of the Markovian framework. This estimate allows us to prove the existence of a viscosity solution to a semilinear parabolic partial differential equation with nonlinearity having quadratic or superquadratic growth in the gradient of the solution. This estimate also allows us to give explicit convergence rates for time approximation of quadratic or superquadratic Markovian BSDEs.

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• Utility maximization in incomplete markets
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Cited by in corpus (1)

• Uniqueness of Solutions for Certain Markovian Backward Stochastic Differential Equations