On the uniqueness of solutions to quadratic BSDEs with convex generators and unbounded terminal conditions

Details On the uniqueness of solutions to quadratic BSDEs with convex generators and unbounded terminal conditions On the uniqueness of solutions to quadratic BSDEs with convex generators and unbounded terminal conditions

2009-06-03

arxiv.org/abs/0906.0752v1

Mathematics

Probability

Scientific paper

In a previous work, P. Briand and Y. Hu proved the uniqueness among the solutions which admit every exponential moments. In this paper, we prove that uniqueness holds among solutions which admit some given exponential moments. These exponential moments are natural as they are given by the existence theorem. Thanks to this uniqueness result we can strengthen the nonlinear Feynman-Kac formula proved by P. Briand and Y. Hu.

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