A stability approach for solving multidimensional quadratic BSDEs

Jonathan Harter; Adrien Richou

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arXiv · 1606.08627

A stability approach for solving multidimensional quadratic BSDEs

Jonathan Harter·Adrien Richou

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Abstract

We establish an existence and uniqueness result for a class of multidimensional quadratic backward stochastic differential equations (BSDE). This class is characterized by constraints on some uniform a priori estimate on solutions of a sequence of approximated BSDEs. We also present effective examples of applications. Our approach relies on the strategy developed by Briand and Elie in [Stochastic Process. Appl. 123 2921--2939] concerning scalar quadratic BSDEs.

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Jonathan Harter, Adrien Richou. 2018-03-09. A stability approach for solving multidimensional quadratic BSDEs. https://arxiv.org/abs/1606.08627

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