Lipschitz-quadratic Regularization for Quadratic Semimartingale BSDEs

Hanlin Yang

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arXiv · 1508.01693

Lipschitz-quadratic Regularization for Quadratic Semimartingale BSDEs

Hanlin Yang

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Abstract

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.

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Hanlin Yang. 2015-08-07. Lipschitz-quadratic Regularization for Quadratic Semimartingale BSDEs. https://arxiv.org/abs/1508.01693

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