A characterization of solutions of quadratic BSDEs and a new approach to existence

Joe Jackson and Gordan Žitković

Stochastic Processes and their Applications, 2022, vol. 147, issue C, 210-225

Abstract: We provide a novel characterization of the solutions of a quadratic BSDE, which is analogous to the characterization of local martingales by convex functions. We then use our main result to show that BSDE solutions are closed under ucp convergence. Finally, we use our closure result obtain a sufficient condition for existence, and discuss specific cases in which this sufficient condition can be verified.

Date: 2022
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DOI: 10.1016/j.spa.2022.01.006

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