Representation theorem for generators of quadratic BSDEs

In this paper, we establish a general representation theorem for generator of backward stochastic differential equation (BSDE), whose generator has a quadratic growth in \(z\). As some applications, we obtain a general converse comparison theorem of such quadratic BSDEs and uniqueness theorem, trans...

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Bibliographic Details
Published in:arXiv.org 2015-07
Main Authors: Zheng, Shiqiu, Li, Shoumei
Format: Article
Language:English
Subjects:
Differential equations
Representations
Uniqueness theorems
Online Access:Get full text
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Summary:In this paper, we establish a general representation theorem for generator of backward stochastic differential equation (BSDE), whose generator has a quadratic growth in \(z\). As some applications, we obtain a general converse comparison theorem of such quadratic BSDEs and uniqueness theorem, translation invariance for quadratic \(g\)-expectation.
ISSN:2331-8422