Research-A type of globally solvable BSDEs with triangularly quadratic generators

Research

Probability & Statistics Seminar

A type of globally solvable BSDEs with triangularly quadratic generators

Speaker: Peng Luo (Shanghai Jiao Tong University)
Time: Jun 6, 2022, 16:00-17:00
Location: Tencent Meeting ID 225981826

Abstract

The present paper is devoted to the study of the well-posedness of a type of BSDEs with triangularly quadratic generators. This work is motivated by the recent results obtained by Hu and Tang [SPA, 2016] and Xing and Zitkovic [AP, 2018]. By the contraction mapping argument, we first prove that this type of triangularly quadratic BSDEs admits a unique local solution on a small time interval whenever the terminal value is bounded. Under additional assumptions, we build the global solution on the whole time interval by stitching local solutions. Finally, we give solvability results when the generators have path dependence in value process.