We prove a uniqueness result of the unbounded solution for a quadratic backward stochastic differential equation whose terminal condition is unbounded and whose generator
Révisé le :
Accepté le :
Publié le :
Shengjun Fan 1 ; Ying Hu 2 ; Shanjian Tang 3

@article{CRMATH_2020__358_2_227_0, author = {Shengjun Fan and Ying Hu and Shanjian Tang}, title = {On the uniqueness of solutions to quadratic {BSDEs} with non-convex generators and unbounded terminal conditions}, journal = {Comptes Rendus. Math\'ematique}, pages = {227--235}, publisher = {Acad\'emie des sciences, Paris}, volume = {358}, number = {2}, year = {2020}, doi = {10.5802/crmath.40}, language = {en}, }
TY - JOUR AU - Shengjun Fan AU - Ying Hu AU - Shanjian Tang TI - On the uniqueness of solutions to quadratic BSDEs with non-convex generators and unbounded terminal conditions JO - Comptes Rendus. Mathématique PY - 2020 SP - 227 EP - 235 VL - 358 IS - 2 PB - Académie des sciences, Paris DO - 10.5802/crmath.40 LA - en ID - CRMATH_2020__358_2_227_0 ER -
%0 Journal Article %A Shengjun Fan %A Ying Hu %A Shanjian Tang %T On the uniqueness of solutions to quadratic BSDEs with non-convex generators and unbounded terminal conditions %J Comptes Rendus. Mathématique %D 2020 %P 227-235 %V 358 %N 2 %I Académie des sciences, Paris %R 10.5802/crmath.40 %G en %F CRMATH_2020__358_2_227_0
Shengjun Fan; Ying Hu; Shanjian Tang. On the uniqueness of solutions to quadratic BSDEs with non-convex generators and unbounded terminal conditions. Comptes Rendus. Mathématique, Volume 358 (2020) no. 2, pp. 227-235. doi : 10.5802/crmath.40. https://comptes-rendus.academie-sciences.fr/mathematique/articles/10.5802/crmath.40/
[1] BSDE with quadratic growth and unbounded terminal value, Probab. Theory Relat. Fields, Volume 136 (2006) no. 4, pp. 604-618 | DOI | MR | Zbl
[2] Quadratic BSDEs with convex generators and unbounded terminal conditions, Probab. Theory Relat. Fields, Volume 141 (2008) no. 3-4, pp. 543-567 | DOI | MR | Zbl
[3] On the uniqueness of solutions to quadratic BSDEs with non-convex generators (2017) (https://arxiv.org/abs/1801.00157v1)
[4] On the uniqueness of solutions to quadratic BSDEs with convex generators and unbounded terminal conditions, Ann. Inst. Henri Poincaré, Volume 47 (2011) no. 2, pp. 559-574 | DOI | Numdam | MR | Zbl
[5] On the uniqueness of solutions to quadratic BSDEs with convex generators and unbounded terminal conditions: the critical case, Discrete Contin. Dyn. Syst., Volume 35 (2015) no. 11, pp. 5273-5283 | DOI | MR | Zbl
[6] Backward stochastic differential equations and partial differential equations with quadratic growth, Ann. Probab., Volume 28 (2000) no. 2, pp. 558-602 | DOI | MR | Zbl
[7] Adapted solution of a backward stochastic differential equation, Syst. Control Lett., Volume 14 (1990) no. 1, pp. 55-61 | DOI | MR | Zbl
[8] Markovian quadratic and superquadratic BSDEs with an unbounded terminal condition, Stochastic Processes Appl., Volume 122 (2012) no. 9, pp. 3173-3208 | DOI | MR | Zbl
- Existence, uniqueness and comparison theorem on unbounded solutions of general time-interval BSDEs with sub-quadratic generators, Probability, Uncertainty and Quantitative Risk, Volume 10 (2025) no. 1, p. 31 | DOI:10.3934/puqr.2025003
- Sequential Propagation of Chaos for Mean-Field BSDE Systems, Chinese Annals of Mathematics, Series B, Volume 45 (2024) no. 1, p. 11 | DOI:10.1007/s11401-024-0002-z
- Markovian Quadratic BSDEs with an Unbounded Sub-quadratic Growth, Chinese Annals of Mathematics, Series B, Volume 45 (2024) no. 3, p. 441 | DOI:10.1007/s11401-024-0022-8
- Multi-dimensional Backward Stochastic Differential Equations of Diagonally Quadratic Generators with a Special Structure, Chinese Annals of Mathematics, Series B, Volume 45 (2024) no. 6, p. 855 | DOI:10.1007/s11401-024-0042-4
- Multi-dimensional backward stochastic differential equations of diagonally quadratic generators: The general result, Journal of Differential Equations, Volume 368 (2023), p. 105 | DOI:10.1016/j.jde.2023.05.041
- Existence, uniqueness and comparison theorem on unbounded solutions of scalar super-linear BSDEs, Stochastic Processes and their Applications, Volume 157 (2023), p. 335 | DOI:10.1016/j.spa.2022.12.008
- On quadratic multidimensional type-I BSVIEs, infinite families of BSDEs and their applications, Stochastic Processes and their Applications, Volume 162 (2023), p. 249 | DOI:10.1016/j.spa.2023.05.001
- Quadratic BSDEs with mean reflection driven by G-brownian motion, Stochastics and Dynamics, Volume 23 (2023) no. 05 | DOI:10.1142/s0219493723500442
- L1 solution to scalar BSDEs with logarithmic sub-linear growth generators, Systems Control Letters, Volume 177 (2023), p. 105553 | DOI:10.1016/j.sysconle.2023.105553
- Quadratic mean-field reflected BSDEs, Probability, Uncertainty and Quantitative Risk, Volume 7 (2022) no. 3, p. 169 | DOI:10.3934/puqr.2022012
- Local existence and uniqueness of solutions to quadratic BSDEs with weak monotonicity and general growth generators, Statistics Probability Letters, Volume 186 (2022), p. 109495 | DOI:10.1016/j.spl.2022.109495
- Quadratic G-BSDEs with convex generators and unbounded terminal conditions, Stochastic Processes and their Applications, Volume 153 (2022), p. 363 | DOI:10.1016/j.spa.2022.08.005
- Decoupling on the Wiener Space, Related Besov Spaces, and Applications to BSDEs, Memoirs of the American Mathematical Society, Volume 272 (2021) no. 1335 | DOI:10.1090/memo/1335
Cité par 13 documents. Sources : Crossref
Commentaires - Politique