Abstract
In this chapter we establish the well-posedness of (one-dimensional) BSDEs whose generator has quadratic growth in its Z-component. Such BSDEs appear naturally in optimization problems with exponential utilities, and the main tool is the so-called BMO martingale.
Author supplied keywords
Cite
CITATION STYLE
APA
Zhang, J. (2017). BSDEs with Quadratic Growth in Z. In Probability Theory and Stochastic Modelling (Vol. 86, pp. 161–176). Springer Nature. https://doi.org/10.1007/978-1-4939-7256-2_7
Register to see more suggestions
Mendeley helps you to discover research relevant for your work.
Already have an account? Sign in
Sign up for free