On the uniqueness of solutions to quadratic BSDEs with non-convex generators and unbounded terminal conditions
We prove a uniqueness result of the unbounded solution for a quadratic backward stochastic differential equation whose terminal condition is unbounded and whose generator $g$ may be non-Lipschitz continuous in the state variable $y$ and non-convex (non-concave) in the state variable $z$, and instead...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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Académie des sciences
2020-06-01
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| Series: | Comptes Rendus. Mathématique |
| Online Access: | https://comptes-rendus.academie-sciences.fr/mathematique/articles/10.5802/crmath.40/ |
| Summary: | We prove a uniqueness result of the unbounded solution for a quadratic backward stochastic differential equation whose terminal condition is unbounded and whose generator $g$ may be non-Lipschitz continuous in the state variable $y$ and non-convex (non-concave) in the state variable $z$, and instead satisfies a strictly quadratic condition and an additional assumption. The key observation is that if the generator is strictly quadratic, then the quadratic variation of the first component of the solution admits an exponential moment. Typically, a Lipschitz perturbation of some convex (concave) function satisfies the additional assumption mentioned above. This generalizes some results obtained in [1] and [2]. |
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| ISSN: | 1778-3569 |