Work

Quadratic BSDEs with Random Terminal Time and Elliptic PDEs in Infinite Dimension

Year: 2008

Type: article

Abstract: In this paper we study one dimensional backward stochastic differential equations (BSDEs) with random terminal time not necessarily bounded or finite when the generator $F(t,Y,Z)$ has a quadratic growth in $Z$. We provide existence and uniqueness of a bounded solution of such BSDEs and, in the case of infinite horizon, regular dependence on parameters. The obtained results are then applied to prove existence and uniqueness of a mild solution to elliptic partial differential equations in Hilbert spaces. Finally we show an application to a control problem.

Source: Electronic Journal of Probability

DOI: 10.1214/ejp.v13-514

Authors: Fulvia Confortola, Philippe Briand

Institutions: Politecnico di Milano, Institut de recherche mathématique de Rennes, Université Rennes 1, Université de Rennes

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: gold

Estimated APC paid: $675

OpenAlex ID: W2007459244