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BSDE with quadratic growth and unbounded terminal value

Philippe Briand·Ying Hu
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Abstract

In this paper, we study the existence of solution to BSDE with quadratic growth and unbounded terminal value. We apply a localization procedure together with a priori bounds. As a byproduct, we apply the same method to extend a result on BSDEs with integrable terminal condition.

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Philippe Briand, Ying Hu. 2005-04-01. BSDE with quadratic growth and unbounded terminal value. https://doi.org/10.1007/s00440-006-0497-0

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