• Title/Summary/Keyword: minimal and maximal bounded solutions

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MINIMAL AND MAXIMAL BOUNDED SOLUTIONS FOR QUADRATIC BSDES WITH STOCHASTIC CONDITIONS

  • Fan, Shengjun;Luo, Huanhuan
    • Bulletin of the Korean Mathematical Society
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    • v.54 no.6
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    • pp.2065-2079
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    • 2017
  • This paper is devoted to the minimal and maximal bounded solutions for general time interval quadratic backward stochastic differential equations with stochastic conditions. A general existence result is established by the method of convolution, the exponential transform, Girsanov's transform and a priori estimates, where the terminal time is allowed to be finite or infinite, and the generator g is allowed to have a stochastic semi-linear growth and a general growth in y, and a quadratic growth in z. This improves some existing results at some extent. Some new ideas and techniques are also applied to prove it.