A simple constructive approach to quadratic BSDEs with or without delay
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DOI: 10.1016/j.spa.2013.02.013
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References listed on IDEAS
- Cheridito, Patrick & Stadje, Mitja, 2012. "Existence, minimality and approximation of solutions to BSDEs with convex drivers," Stochastic Processes and their Applications, Elsevier, vol. 122(4), pages 1540-1565.
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Keywords
Quadratic BSDE; Delay; BMO martingales; Malliavin calculus;All these keywords.
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