On the uniqueness of solutions to quadratic BSDEs with convex generators and unbounded terminal conditions
نویسندگان
چکیده
In [4], the authors proved the uniqueness among the solutions which admit every exponential moments. In this paper, we prove that uniqueness holds among solutions which admit some given exponential moments. These exponential moments are natural as they are given by the existence theorem. Thanks to this uniqueness result we can strengthen the nonlinear Feynman-Kac formula proved in [4].
منابع مشابه
On the uniqueness of solutions to quadratic BSDEs with convex generators and unbounded terminal conditions: the critical case
In F. Delbaen, Y. Hu and A. Richou (Ann. Inst. Henri Poincaré Probab. Stat. 47(2):559–574, 2011), the authors proved that uniqueness of solution to quadratic BSDE with convex generator and unbounded terminal condition holds among solutions whose exponentials are Lp with p bigger than a constant γ (p > γ). In this paper, we consider the critical case: p = γ. We prove that the uniqueness holds am...
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متن کامل[hal-00391112, v1] On the uniqueness of solutions to quadratic BSDEs with convex generators and unbounded terminal conditions
In [4], the authors proved the uniqueness among the solutions which admit every exponential moments. In this paper, we prove that uniqueness holds among solutions which admit some given exponential moments. These exponential moments are natural as they are given by the existence theorem. Thanks to this uniqueness result we can strengthen the nonlinear Feynman-Kac formula proved in [4].
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