4 papers
Martingales with Independent Increments
Freddy Delbaen
We show that a discrete time martingale with respect to a filtration with atomless innovations is the (infinite) sum of martingales with independent increments. For the continuous…
Mod- convergence: Approximation of discrete measures and harmonic analysis on the torus
Reda Chhaibi, Freddy Delbaen, Pierre-Loïc Méliot +1
In this paper, we relate the framework of mod- convergence to the construction of approximation schemes for lattice-distributed random variables. The point of view taken here is…
On the uniqueness of solutions to quadratic BSDEs with convex generators and unbounded terminal conditions: the critical case
Freddy Delbaen, Ying Hu, Adrien Richou
In [3], the authors proved that uniqueness holds among solutions whose exponentials are with bigger than a constant ($p\textgreater{}γ$). In this paper, we consider t…
Backward SDEs with superquadratic growth
Freddy Delbaen, Ying Hu, Xiaobo Bao
In this paper, we discuss the solvability of backward stochastic differential equations (BSDEs) with superquadratic generators. We first prove that given a superquadratic generator…