Invariant representation for generators of general time interval quadratic BSDEs under stochastic growth conditions

2021/11/11 by Zhou, Guangshuo, Du, Fengjiao, Fan, Shengjun
#FOS: Mathematics #Probability (math.PR)

paper · doi:10.48550/arxiv.2111.06125

Abstract

This paper is devoted to proving a general invariant representation theorem for generators of general time interval backward stochastic differential equations, where the generator g has a quadratic growth in the unknown variable z and satisfies some stochastic growth conditions in the unknown variable y. This unifies and strengthens some known results. And, a natural and innovative idea is used to prove the representation theorem.

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