Existence result for the BSDE with superquadratic growth

Yufeng Shi and Zhi Yang

Communications in Statistics - Theory and Methods, 2023, vol. 52, issue 24, 8902-8908

Abstract: We show the existence of a solution to the scalar-valued superquadratic backward stochastic differential equation (BSDE, for short) with the terminal condition that has bounded Malliavin derivative, and whose coefficient f(t,y,z) is Lipschitz in y but only continuous in z.

Date: 2023
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DOI: 10.1080/03610926.2022.2105363

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