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Local existence and uniqueness of solutions to quadratic BSDEs with weak monotonicity and general growth generators

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  • Kim, Kon-Gun
  • Kim, Mun-Chol
  • O, Hun

Abstract

In this paper, we study quadratic backward stochastic differential equations (QBSDEs for short) with generators satisfying a weak monotonicity and a general growth condition with respect to the first variable. We provide the local existence and uniqueness of solutions to multi-dimensional QBSDEs. We use the convolution approach, the Picard iteration, the truncation and the Bihari inequality.

Suggested Citation

  • Kim, Kon-Gun & Kim, Mun-Chol & O, Hun, 2022. "Local existence and uniqueness of solutions to quadratic BSDEs with weak monotonicity and general growth generators," Statistics & Probability Letters, Elsevier, vol. 186(C).
    • Handle: RePEc:eee:stapro:v:186:y:2022:i:c:s0167715222000785
    DOI: 10.1016/j.spl.2022.109495
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    References listed on IDEAS

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