Article Dans Une Revue Probability Theory and Related Fields Année : 2006

BSDE with quadratic growth and unbounded terminal value

Résumé

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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hal-00004619 , version 1 (01-04-2005)

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Philippe Briand, Ying Hu. BSDE with quadratic growth and unbounded terminal value. Probability Theory and Related Fields, 2006, 136 (4), pp.604-618. ⟨10.1007/s00440-006-0497-0⟩. ⟨hal-00004619⟩
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