On Quadratic BSDEs with Final Condition in L2

Abstract

This thesis consists of three parts. In the first part, we study ${\mathbb{L}}^p$ solutions of a large class of BSDEs. Existence, comparison theorem, uniqueness and a stability result are proved. In the second part, we establish the solvability of quadratic semimartingale BSDEs. In contrast to current literature, we use Lipschitz-quadratic regularization and obtain the existence and uniqueness results with minimal assumptions. The third part is a brief summary of quadratic semimartingales and the monotone stability result. This provides an alternative proof of monotone stability result for quadratic semimartingales BSDEs.

Master Thesis, University of Zurich and ETH Zurich

References in corpus (3)

• Utility maximization in incomplete markets
• Uniqueness Results for Second Order Bellman-Isaacs Equations under Quadratic Growth Assumptions and Applications
• BSDEs in Utility Maximization with BMO Market Price of Risk