Backward SDEs with superquadratic growth

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dc.creatorDelbaen, Freddy
dc.creatorHu, Ying
dc.creatorBao, Xiaobo
dc.date2009-02-19
dc.date.accessioned2026-07-07T12:44:08Z
dc.date.available2026-07-07T12:44:08Z
dc.descriptionIn this paper, we discuss the solvability of backward stochastic differential equations (BSDEs) with superquadratic generators. We first prove that given a superquadratic generator, there exists a bounded terminal value, such that the associated BSDE does not admit any bounded solution. On the other hand, we prove that if the superquadratic BSDE admits a bounded solution, then there exist infinitely many bounded solutions for this BSDE. Finally, we prove the existence of a solution for Markovian BSDEs where the terminal value is a bounded continuous function of a forward stochastic differential equation.
dc.identifierhttps://arxiv.org/abs/0902.3316
dc.identifierhttp://arxiv.org/abs/0902.3316
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/220668
dc.subjectProbability
dc.titleBackward SDEs with superquadratic growth
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