Solvability of backward stochastic differential equations with quadratic growth

Revaz Tevzadze

Stochastic Processes and their Applications, 2008, vol. 118, issue 3, 503-515

Abstract: We prove the existence of the unique solution of a general backward stochastic differential equation with quadratic growth driven by martingales. A kind of comparison theorem is also proved.

Keywords: Backward; stochastic; differential; equation; Contraction; principle; BMO-martingale (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (60)

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