On the uniqueness of solutions to quadratic BSDEs with convex generators and unbounded terminal conditions: the critical case - Archive ouverte HAL
Pré-Publication, Document De Travail Année : 2013

On the uniqueness of solutions to quadratic BSDEs with convex generators and unbounded terminal conditions: the critical case

Résumé

In [3], the authors proved that uniqueness holds among solutions whose exponentials are $L^p$ with $p$ bigger than a constant $\gamma$ ($p>\gamma$). In this paper, we consider the critical case: $p=\gamma$. We prove that the uniqueness holds among solutions whose exponentials are $L^\gamma$ under the additional assumption that the generator is strongly convex.
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Dates et versions

hal-00802330 , version 1 (19-03-2013)
hal-00802330 , version 2 (16-01-2015)

Identifiants

Citer

Freddy Delbaen, Ying Hu, Adrien Richou. On the uniqueness of solutions to quadratic BSDEs with convex generators and unbounded terminal conditions: the critical case. 2013. ⟨hal-00802330v1⟩
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