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On the uniqueness of solutions to quadratic BSDEs with convex generators and unbounded terminal conditions

By Freddy Delbaen, Ying Hu and Adrien Richou

Abstract

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].

Year: 2014
OAI identifier: oai:CiteSeerX.psu:10.1.1.412.1174
Provided by: CiteSeerX
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