Lp Solutions of Quadratic BSDEs

Hanlin Yang

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arXiv · 1506.08146

Lp Solutions of Quadratic BSDEs

Hanlin Yang

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Abstract

We study a general class of quadratic BSDEs with terminal value in Lp for p > 1. First of all, we give an Lp-type estimate and existence result. Under the additional assumption of monotonicity and convexity, we derive the comparison theorem, uniqueness and stability result via {\theta}-technique (Briand and Hu [7]). The assumptions employed throughout this paper are rather weak and extend the quadratic BSDE literature. Finally, a probabilistic representation for the viscosity solution to the associated quadratic PDEs is given.

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Hanlin Yang. 2015-06-26. Lp Solutions of Quadratic BSDEs. https://arxiv.org/abs/1506.08146

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