A characterization of solutions of quadratic BSDEs and a new approach to existence
A characterization of solutions of quadratic BSDEs and a new approach to existence
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DOI：
10.1016/j.spa.2022.01.006
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发表时间：
2020-04
影响因子：
1.4
通讯作者：
Joe Jackson;Gordan vZitkovi'c
中科院分区：
文献类型：
--
作者：
Joe Jackson;Gordan vZitkovi'c
我们提供了一个新的特征的解决方案的二次Besides，这是类似的局部鞅的凸函数的特征。然后，我们使用我们的主要结果表明，Bracket解决方案是封闭的ucp收敛。最后，我们利用我们的闭包结果得到了存在的一个充分条件，并讨论了这个充分条件可以被验证的具体情况。
We provide a novel characterization of the solutions of a quadratic BSDE, which is analogous to the characterization of local martingales by convex functions. We then use our main result to show that BSDE solutions are closed under ucp convergence. Finally, we use our closure result obtain a sufficient condition for existence, and discuss specific cases in which this sufficient condition can be verified.