Local existence and uniqueness of solutions to quadratic BSDEs with weak monotonicity and general growth generators

Kon-Gun Kim, Mun-Chol Kim and Hun O

Statistics & Probability Letters, 2022, vol. 186, issue C

Abstract: In this paper, we study quadratic backward stochastic differential equations (QBSDEs for short) with generators satisfying a weak monotonicity and a general growth condition with respect to the first variable. We provide the local existence and uniqueness of solutions to multi-dimensional QBSDEs. We use the convolution approach, the Picard iteration, the truncation and the Bihari inequality.

Keywords: Quadratic backward stochastic differential equation; Backward stochastic differential equation; Weak monotonicity condition; General growth condition (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1016/j.spl.2022.109495

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