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Research

Financial Math Seminar

Some fine well-posedness results on Backward Stochastic Differential Equations

Speaker: Ying Hu (University of Rennes 1, France)
Time: Oct 21, 2020, 15:00-16:00
Location: Tencent meeting ID 257911419

Abstract

The aim of this talk is to discuss well-posedness for scalar valued Backward Stochastic Differential Equations (BSDEs) when the generator has a sublinear growth, linear growth, subquadratic growth, quadratic growth and superquadratic growth in the second variable. In each of these five cases, we give some precise conditions for terminal random variables to guarantee the existence and uniqueness of the solution. On the other hand, we give a few results on multi-dimensional BSDEs with quadratic growth whose solvability remains largely open.