Invariant representation for generators of general time interval quadratic BSDEs under stochastic growth conditions

Guangshuo Zhou, Fengjiao Du and Shengjun Fan

Statistics & Probability Letters, 2024, vol. 205, issue C

Abstract: This paper is devoted to proving a general invariant representation theorem for generators of general time interval backward stochastic differential equations, where the generator g has a quadratic growth in the unknown variable z and satisfies some stochastic growth conditions in the unknown variable y. This unifies and strengthens some known results. A natural and innovative idea is used to prove the representation theorem.

Keywords: Backward stochastic differential equation; Quadratic growth; Invariant representation; General time interval; Stochastic growth (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1016/j.spl.2023.109961

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