A stability approach for solving multidimensional quadratic BSDEs

2016/06/28 by Harter, Jonathan, Richou, Adrien
#FOS: Mathematics #Probability (math.PR)

paper · doi:10.48550/arxiv.1606.08627

Abstract

We establish an existence and uniqueness result for a class of multidimensional quadratic backward stochastic differential equations (BSDE). This class is characterized by constraints on some uniform a priori estimate on solutions of a sequence of approximated BSDEs. We also present effective examples of applications. Our approach relies on the strategy developed by Briand and Elie in [Stochastic Process. Appl. 123 2921--2939] concerning scalar quadratic BSDEs.

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