Lp Solutions of Quadratic BSDEs

Abstract

We study a general class of quadratic BSDEs with terminal value in Lp for p > 1. First of all, we give an Lp-type estimate and existence result. Under the additional assumption of monotonicity and convexity, we derive the comparison theorem, uniqueness and stability result via θ-technique (Briand and Hu [7]). The assumptions employed throughout this paper are rather weak and extend the quadratic BSDE literature. Finally, a probabilistic representation for the viscosity solution to the associated quadratic PDEs is given.

References in corpus (1)

• Uniqueness Results for Second Order Bellman-Isaacs Equations under Quadratic Growth Assumptions and Applications

Cited by in corpus (2)

• Existence, uniqueness and comparison theorem on unbounded solutions of scalar super-linear BSDEs
• On the backward stochastic differential equation with generator $f(y)|z{|}^2$