Representation theorem for generators of quadratic BSDEs

2014/05/19 by Shiqiu Zheng, Zheng, Shiqiu, Shoumei Li +1
Economics, Econometrics and Finance · Engineering · Mathematics · #FOS: Mathematics #Nonlinear Differential Equations Analysis #Probability (math.PR) #Stability and Controllability of Differential Equations #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.1405.4789

openalex publication_date 2014/05/19 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

In this paper, we establish a general representation theorem for generator of backward stochastic differential equation (BSDE), whose generator has a quadratic growth in z. As some applications, we obtain a general converse comparison theorem of such quadratic BSDEs and uniqueness theorem, translation invariance for quadratic g-expectation.

Citations

• Quadratic BSDEs with jumps: related non-linear expectations

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