On Quadratic BSDEs with Final Condition in L2

2015/06/26 by Hanlin Yang, Yang, Hanlin
Decision Sciences · Economics, Econometrics and Finance · #Credit Risk and Financial Regulations #FOS: Mathematics #Probability (math.PR) #Risk and Portfolio Optimization #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.1506.08143

openalex publication_date 2015/06/26 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

This thesis consists of three parts. In the first part, we study \mathbbL^p solutions of a large class of BSDEs. Existence, comparison theorem, uniqueness and a stability result are proved. In the second part, we establish the solvability of quadratic semimartingale BSDEs. In contrast to current literature, we use Lipschitz-quadratic regularization and obtain the existence and uniqueness results with minimal assumptions. The third part is a brief summary of quadratic semimartingales and the monotone stability result. This provides an alternative proof of monotone stability result for quadratic semimartingales BSDEs.

Citations

• Utility maximization in incomplete markets

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