2015/08/07 by Hanlin Yang, Yang, Hanlin
Decision Sciences · Economics, Econometrics and Finance · #Economic theories and models #FOS: Mathematics #Probability (math.PR) #Risk and Portfolio Optimization #Stochastic processes and financial applications
paper · pdf · doi:10.48550/arxiv.1508.01693
openalex publication_date 2015/08/07 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
We refine the solvability of quadratic semimartingale BSDEs by employing a Lipschitz-quadratic regularization procedure. In the first step, we prove an existence and uniqueness result for a class of Lipschitz-quadratic BSDEs. A corresponding stability theorem and a Lipschitz-quadratic regularization are developed to solve quadratic BSDEs. The advantage of our approach is that much weaker conditions ensure the existence and uniqueness results.