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On measure solutions of backward stochastic differential equations

Please always quote using this URN:urn:nbn:de:0296-matheon-6369
  • We consider backward stochastic differential equations (BSDE) with nonlinear generators typically of quadratic growth in the control variable. A measure solution of such a BSDE will be understood as a probability measure under which the generator is seen as vanishing, so that the classical solution can be reconstructed by a combination of the operations of conditioning and using martingale representations. In case the terminal condition ist bounded and the generator fulfills the usual continuity and boundedness conditions, we show the measure solutions with equivalent measures just reinterpret classical ones. In case of terminal conditions that have only exponentially bounded moments, we discuss a series of examples which show that in cas of non-uniqueness classical solutions that fail to be measure solutions can coexists with different measure solution.

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Metadaten
Author:Stefan Ankirchner, Peter Imkeller, Alexandre Popier
URN:urn:nbn:de:0296-matheon-6369
Referee:Dirk Becherer
Document Type:Preprint, Research Center Matheon
Language:English
Date of first Publication:2009/07/26
Release Date:2009/07/24
Tag:
Institute:Humboldt-Universität zu Berlin
Preprint Number:641
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