Quadratic G-BSDEs with convex generators and unbounded terminal conditions

Ying Hu, Shanjian Tang and Falei Wang

Stochastic Processes and their Applications, 2022, vol. 153, issue C, 363-390

Abstract: In this paper, we first study one-dimensional quadratic backward stochastic differential equations driven by G-Brownian motions (G-BSDEs) with unbounded terminal values. With the help of a θ-method of Briand and Hu (2008) and nonlinear stochastic analysis techniques, we propose an approximation procedure to prove existence and uniqueness result when the generator is convex (or concave) and terminal value is of exponential moments of arbitrary order. Finally, we also establish the well-posedness of multi-dimensional G-BSDEs with diagonally quadratic generators.

Keywords: Quadratic G-BSDEs; Unbounded terminal value; Convex generator (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1016/j.spa.2022.08.005

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