IDEAS home Printed from https://ideas.repec.org/a/eee/spapps/v118y2008i3p503-515.html
   My bibliography  Save this article

Solvability of backward stochastic differential equations with quadratic growth

Author

Listed:
  • Tevzadze, Revaz

Abstract

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.

Suggested Citation

  • Tevzadze, Revaz, 2008. "Solvability of backward stochastic differential equations with quadratic growth," Stochastic Processes and their Applications, Elsevier, vol. 118(3), pages 503-515, March.
    • Handle: RePEc:eee:spapps:v:118:y:2008:i:3:p:503-515
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0304-4149(07)00094-4
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. M. Mania & R. Tevzadze, 2003. "Backward Stochastic PDE and Imperfect Hedging," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 6(07), pages 663-692.
    2. Ying Hu & Peter Imkeller & Matthias Muller, 2005. "Utility maximization in incomplete markets," Papers math/0508448, arXiv.org.
    3. Michael Mania & Martin Schweizer, 2005. "Dynamic exponential utility indifference valuation," Papers math/0508489, arXiv.org.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Thai Nguyen & Mitja Stadje, 2020. "Utility maximization under endogenous pricing," Papers 2005.04312, arXiv.org, revised Mar 2024.
    2. Daniel Bartl, 2016. "Exponential utility maximization under model uncertainty for unbounded endowments," Papers 1610.00999, arXiv.org, revised Feb 2019.
    3. Huiwen Yan & Gechun Liang & Zhou Yang, 2015. "Indifference Pricing and Hedging in a Multiple-Priors Model with Trading Constraints," Papers 1503.08969, arXiv.org.
    4. Arnaud Porchet & Nizar Touzi & Xavier Warin, 2009. "Valuation of power plants by utility indifference and numerical computation," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 70(1), pages 47-75, August.
    5. Roger J. A. Laeven & Mitja Stadje, 2014. "Robust Portfolio Choice and Indifference Valuation," Mathematics of Operations Research, INFORMS, vol. 39(4), pages 1109-1141, November.
    6. Wing Fung Chong & Ying Hu & Gechun Liang & Thaleia Zariphopoulou, 2019. "An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior," Finance and Stochastics, Springer, vol. 23(1), pages 239-273, January.
    7. Dejian Tian, 2022. "Pricing principle via Tsallis relative entropy in incomplete market," Papers 2201.05316, arXiv.org, revised Oct 2022.
    8. Marie-Amélie Morlais, 2009. "Quadratic BSDEs driven by a continuous martingale and applications to the utility maximization problem," Finance and Stochastics, Springer, vol. 13(1), pages 121-150, January.
    9. Frei, Christoph & Mocha, Markus & Westray, Nicholas, 2012. "BSDEs in utility maximization with BMO market price of risk," Stochastic Processes and their Applications, Elsevier, vol. 122(6), pages 2486-2519.
    10. Ying Hu & Gechun Liang & Shanjian Tang, 2017. "Utility maximization in constrained and unbounded financial markets: Applications to indifference valuation, regime switching, consumption and Epstein-Zin recursive utility," Papers 1707.00199, arXiv.org, revised Oct 2024.
    11. Johannes Gerer & Gregor Dorfleitner, 2016. "A Note On Utility Indifference Pricing," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(06), pages 1-17, September.
    12. Thorsten Rheinländer & Jenny Sexton, 2011. "Hedging Derivatives," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 8062, August.
    13. Morlais, Marie-Amelie, 2010. "A new existence result for quadratic BSDEs with jumps with application to the utility maximization problem," Stochastic Processes and their Applications, Elsevier, vol. 120(10), pages 1966-1995, September.
    14. Vicky Henderson & Gechun Liang, 2014. "Pseudo linear pricing rule for utility indifference valuation," Finance and Stochastics, Springer, vol. 18(3), pages 593-615, July.
    15. Marina Santacroce & Paola Siri & Barbara Trivellato, 2023. "Forward Backward SDEs Systems for Utility Maximization in Jump Diffusion Models," Papers 2302.08253, arXiv.org.
    16. Bernt Oksendal & Agnès Sulem, 2011. "Portfolio optimization under model uncertainty and BSDE games," Working Papers inria-00570532, HAL.
    17. Roger J. A. Laeven & Emanuela Rosazza Gianin & Marco Zullino, 2024. "Geometric BSDEs," Papers 2405.09260, arXiv.org, revised Jul 2024.
    18. Jonas Blessing & Michael Kupper & Alessandro Sgarabottolo, 2024. "Discrete approximation of risk-based prices under volatility uncertainty," Papers 2411.00713, arXiv.org.
    19. Madan, Dilip & Pistorius, Martijn & Stadje, Mitja, 2016. "Convergence of BSΔEs driven by random walks to BSDEs: The case of (in)finite activity jumps with general driver," Stochastic Processes and their Applications, Elsevier, vol. 126(5), pages 1553-1584.
    20. B. Chikvinidze & M. Mania, 2014. "New Proofs of Some Results on Bounded Mean Oscillation Martingales Using Backward Stochastic Differential Equations," Journal of Theoretical Probability, Springer, vol. 27(4), pages 1213-1228, December.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:spapps:v:118:y:2008:i:3:p:503-515. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/505572/description#description .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.