On the uniqueness of solutions to quadratic BSDEs with convex generators and unbounded terminal conditions: the critical case

2013/03/20 by Freddy Delbaen, Ying Hu, Delbaen, Freddy +3
Mathematics · #FOS: Mathematics #Probability (math.PR) #math.PR

paper · pdf · doi:10.48550/arxiv.1303.4859

arxiv created 2015/01/19 · arxiv updated 2015/01/20

Abstract

In [3], the authors proved that uniqueness holds among solutions whose exponentials are L^p with p bigger than a constant γ (p\textgreaterγ). In this paper, we consider the critical case: p=γ. We prove that the uniqueness holds among solutions whose exponentials are L^γ under the additional assumption that the generator is strongly convex.

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