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Backward stochastic differential equations with a convex generator
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Besik Chikvinidze
Published/Copyright:
February 29, 2012
Abstract.
Backward stochastic differential equations (BSDEs) with convex generators of quadratic growth are considered. The existence of a solution is proved for such equations driven by a continuous martingale with unbounded characteristic. A suitable optimization problem is formulated and it is shown that the corresponding value process satisfies BSDEs.
Received: 2010-08-30
Published Online: 2012-02-29
Published in Print: 2012-March
© 2012 by Walter de Gruyter Berlin Boston
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