Solvability of backward stochastic differential equations with quadratic growth
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.
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Volume (Year): 118 (2008)
Issue (Month): 3 (March)
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- Ying Hu & Peter Imkeller & Matthias Muller, 2005. "Utility maximization in incomplete markets," Papers math/0508448, arXiv.org.
- Michael Mania & Martin Schweizer, 2005. "Dynamic exponential utility indifference valuation," Papers math/0508489, arXiv.org.
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