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Article Dans Une Revue Electronic Journal of Probability Année : 2019

A stability approach for solving multidimensional quadratic BSDES

Jonathan Harter
Adrien Richou

Résumé

We establish an existence and uniqueness result for a class of multidimensional quadratic backward stochastic differential equations (BSDEs). This class is characterized by constraints on some uniform a priori estimates 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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Dates et versions

hal-01338673 , version 1 (29-06-2016)
hal-01338673 , version 2 (06-04-2017)
hal-01338673 , version 3 (09-03-2018)

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Jonathan Harter, Adrien Richou. A stability approach for solving multidimensional quadratic BSDES. Electronic Journal of Probability, 2019, 24, ⟨10.1214/18-EJP260⟩. ⟨hal-01338673v3⟩

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