Markovian Quadratic BSDEs with an Unbounded Sub-quadratic Growth

Jingnan Ju , Shanjian Tang

Chinese Annals of Mathematics, Series B ›› 2024, Vol. 45 ›› Issue (3) : 441 -462.

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Chinese Annals of Mathematics, Series B ›› 2024, Vol. 45 ›› Issue (3) : 441 -462. DOI: 10.1007/s11401-024-0022-8
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Markovian Quadratic BSDEs with an Unbounded Sub-quadratic Growth

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Abstract

This paper is devoted to the solvability of Markovian quadratic backward s-tochastic differential equations (BSDEs for short) with bounded terminal conditions. The generator is allowed to have an unbounded sub-quadratic growth in the second unknown variable z. The existence and uniqueness results are given to these BSDEs. As an application, an existence result is given to a system of coupled forward-backward stochastic differential equations with measurable coefficients.

Keywords

Markovian BSDE / Quadratic growth / Unbounded sub-quadratic term coefficients / Coupled FBSDE

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Jingnan Ju, Shanjian Tang. Markovian Quadratic BSDEs with an Unbounded Sub-quadratic Growth. Chinese Annals of Mathematics, Series B, 2024, 45(3): 441-462 DOI:10.1007/s11401-024-0022-8

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