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arXiv · 1301.0457

A New Result for Second Order BSDEs with Quadratic Growth and its Applications

Yiqing Lin
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Abstract

In this paper, we study a class of second order backward stochastic differential equations (2BSDEs) with quadratic growth in coefficients. We first establish solvability for such 2BSDEs and then give their applications to robust utility maximization problems.

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Yiqing Lin. 2013-01-03. A New Result for Second Order BSDEs with Quadratic Growth and its Applications. https://doi.org/10.1080/17442508.2015.1044531

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