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Solvability of backward stochastic differential equations with quadratic growth

Article ID Journal Published Year Pages File Type
1156985 Stochastic Processes and their Applications 2008 13 Pages PDF
Abstract

We prove the existence of the unique solution of a general backward stochastic differential equation with quadratic growth driven by martingales. A kind of comparison theorem is also proved.

Keywords
60H3090A09Contraction principle
Related Topics
Physical Sciences and Engineering Mathematics Mathematics (General)
Preview
Solvability of backward stochastic differential equations with quadratic growth
Authors
Revaz Tevzadze,
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Stochastic Processes and their Applications
Journal: Stochastic Processes and their Applications
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