Backward SDEs with superquadratic growth

Details Backward SDEs with superquadratic growth Backward SDEs with superquadratic growth

2009-02-19

arxiv.org/abs/0902.3316v1

Mathematics

Probability

Scientific paper

In this paper, we discuss the solvability of backward stochastic differential equations (BSDEs) with superquadratic generators. We first prove that given a superquadratic generator, there exists a bounded terminal value, such that the associated BSDE does not admit any bounded solution. On the other hand, we prove that if the superquadratic BSDE admits a bounded solution, then there exist infinitely many bounded solutions for this BSDE. Finally, we prove the existence of a solution for Markovian BSDEs where the terminal value is a bounded continuous function of a forward stochastic differential equation.

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