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math.PR2019
Reflected Quadratic BSDEs driven by -Brownian Motions
Dong Cao, Shanjian Tang
In this paper, we consider a reflected backward stochastic differential equation driven by a -Brownian motion (-BSDE), with the generator growing quadratically in the second…
math.PR2019★ 2 cited
On the uniqueness of solutions to quadratic BSDEs with non-convex generators and unbounded terminal conditions
Shengjun Fan, Ying Hu, Shanjian Tang
We prove a uniqueness result of the unbounded solution for a quadratic backward stochastic differential equation whose terminal condition is unbounded and whose generator may b…