Second order backward stochastic differential equations with quadratic growth
نویسندگان
چکیده
منابع مشابه
Solvability of Backward Stochastic Differential Equations with quadratic growth
In this paper we show a general result of existence and uniqueness of Backward Stochastic Differential Equation (BSDE) with quadratic growth driven by continuous martingale. Backward stochastic differential equations have been introduced by Bismut [1] for the linear case as equations of the adjoint process in the stochastic maximum principle. A nonlinear BSDE (with Bellman generator) was first ...
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ژورنال
عنوان ژورنال: Stochastic Processes and their Applications
سال: 2013
ISSN: 0304-4149
DOI: 10.1016/j.spa.2013.05.007