Quadratic Semimartingale BSDEs under an Exponential Moments Condition

Details Quadratic Semimartingale BSDEs under an Exponential Moments Condition Quadratic Semimartingale BSDEs under an Exponential Moments Condition

2011-01-13

arxiv.org/abs/1101.2582v1

Mathematics

Probability

28 pages

Scientific paper

In the present article we provide existence, uniqueness and stability results under an exponential moments condition for quadratic semimartingale backward stochastic differential equations (BSDEs) having convex generators. We show that the martingale part of the BSDE solution defines a true change of measure and provide an example which demonstrates that pointwise convergence of the drivers is not sufficient to guarantee a stability result within our framework.

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