Existence and Non-uniqueness of Solutions for BSDE

Xiaobo Bao, Freddy Delbaen () and Ying Hu
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Xiaobo Bao: ETH Zurich, Department of Mathematics
Freddy Delbaen: ETH Zurich, Department of Mathematics
Ying Hu: Université de Rennes-1, Département de Mathématiques

A chapter in Contemporary Quantitative Finance, 2010, pp 123-134 from Springer

Abstract: Abstract We study BSDE where the driver is pathwise quadratically bounded. The associated utility function is always a solution but even in the class of Markovian solutions uniqueness is not guaranteed. we relate the problem to problems for quasi-linear parabolic PDE.

Keywords: Stochastic Differential Equation; Predictable Process; Exponential Moment; Backward Stochastic Differential Equation; Density Process (search for similar items in EconPapers)
Date: 2010
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-642-03479-4_7

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DOI: 10.1007/978-3-642-03479-4_7

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