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Quadratic G-BSDEs with convex generators and unbounded terminal conditions

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  • Hu, Ying
  • Tang, Shanjian
  • Wang, Falei

Abstract

In this paper, we first study one-dimensional quadratic backward stochastic differential equations driven by G-Brownian motions (G-BSDEs) with unbounded terminal values. With the help of a θ-method of Briand and Hu (2008) and nonlinear stochastic analysis techniques, we propose an approximation procedure to prove existence and uniqueness result when the generator is convex (or concave) and terminal value is of exponential moments of arbitrary order. Finally, we also establish the well-posedness of multi-dimensional G-BSDEs with diagonally quadratic generators.

Suggested Citation

  • Hu, Ying & Tang, Shanjian & Wang, Falei, 2022. "Quadratic G-BSDEs with convex generators and unbounded terminal conditions," Stochastic Processes and their Applications, Elsevier, vol. 153(C), pages 363-390.
    • Handle: RePEc:eee:spapps:v:153:y:2022:i:c:p:363-390
    DOI: 10.1016/j.spa.2022.08.005
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    References listed on IDEAS

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